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.
I used to play a boatload of Street Fighter 2010. (https://en.m.wikipedia.org/wiki/Street_Fighter_2010:_The_Final_Fight)
That game was and still is incredibly hard, but regardless I used to play it for hours at a time as a kid.