My two:
Very cliché, I played Ocarina of Time a ton as a child, have memories of playing it both on N64 as a wee child and on game cube as a less small child. Never got past water temple even with the game guide.
Yu-Gi-Oh forbidden memories. Played the crap out of that game on play station, constantly playing on free play praying for the cards I would need to get further. I was never able to beat more than 1-2 of the high mages. Watching speed runs on the game it turns out I was never ever going to beat that game as a kid. The final 6 are just disgustingly brutal.
Sonic 2
I beat 1, 3 and & Knuckles, but never 2.
Played every sonic game, never managed to beat a single one. The field of view is just too small for the move speed! Same reason Donkey Kong country is impossible.
3 and 2 for me, no 1!
2 is the only one I have finished but getting close on mania