Alright, this may not count since it's a modded game and as such it's not meant to be perfectly balanced, but Oscuro's Oblivion Overhaul is RUTHLESS with new players, especially on your first visit to Oblivion and the subsequent counter-strike on the raided village. You may start thinking it's easy, but once you get cornered in the Count's castle with a fuckload of enemies you just can't hope to defeat well, that's a different story. Also, the chests in that mod can be booby trapped with skullfucking magic spells that will straight murder you in the eye if you just try to open them, with no way of telling if it's actually trapped.
On the same line I've always thought of Morrowind to be really hard. Maybe it's because I tend to choose ranged weapons, but Jesus it's hard to just HIT anything, not to mention the goddamn Assassin that attacks you the first time you sleep once you install Tribunal, regardless of your level and skills. The whole game feels not just difficult, but straight broken.
EDIT: Oh, and Mass Effect 2. Hard. Vanguard. I don't know if it gets easier once you practice with the class, but damn
