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.
Vagrant Story was extremely confusing for a kid that just started learning English as second language, but I really loved the character designs and tactical real time gameplay. Now I know there were several systems I didn’t understand but also the game itself hides it from you like your weapon slowly switching it’s damage type according to what you hit, and also the story is fantastic.