Guess I'll be the first to say it...
Demon's Souls
Pretty much the whole game is an excersize in frustration and exhilaration. The first night I played it, for instance, I spent at least a couple hours dying in all sorts of fun ways from being stabbed to falling off cliffs to being burned by a giant flying dragon to being shot in the face with crossbow bolts. However each time I died I learned what not to do and by the end of the night I had most of the level memorized and was able to make it further and further until I reached the giant knight boss - you're barely up to his ankle. Took several tries - actually took several tries just to make it to him, which took several more tries so it was a long tedious thing but finally, FINALLY, I bested him. Everytime I died, knowing I could do it and how close I was, it filled me with that kind of rage/adrenaline. I just HAD to do it. Kick his ass. I couldn't quit till it was done. So, it felt so great when I finally did it on my first night with the game.
Demon's Souls has many similar stories for me throughout. Pretty much every level took try after try to memorize and almost every boss took at least three tries.
Oh and killing Old King Doran with a sword was... just epic. One of the few times in recent gaming I actually yelled "YEAAAAA!" and did a fist pump.
