Street Fighter Alpha 3 or something like that, the one with all the -ISM stuff going on, that game gave me nightmares.
And I don't know if this counts as difficulty since it's so god-damned cheap, but Dead Risings, both of them, made me quit not just because of the difficulty, but because of useless controls and a save system that would make you trudge for 10 minutes through zombies everytime you fucked up and had to do it again.
Seriously, I spent about 40minutes fighting that idiot on the bike, until I discovered how to fashion a weapon to get him after he glitches on a wall, to finally go into his trailer to get a weapon on my last sliver of health, get whacked by a zombie I thought was already dead, and do the whole thing again (walk all the way across the mall courtyard, get cutscene, walk all the way back again to fight him, make the weapon etc). Bullshit just gets tiring.