I don't think I've ever played a game that I thought was hard, unless I'd selected the difficulty as so (Fallout 3 and Uncharted (1&2) is ridiculous on the Very Hard/Crushing setting). Games aren't impossible, you just need practice.

I got impatient with Devil May Cry. Seriously, there's a certain part in the first game I just can't get past. That big spider thing was difficult too.

I found Shadow of the Colossus a challenge, but that's because I didn't want to use guides to work out how to kill each Colossi. Figuring out how to kill them on your own on the first play through was difficult, even though some were just obvious. Once you've figured out how to mount each one, you then have to find the weak spots, not knowing how many there are or where they are. As useful as the sword is in finding the Colossi, when you have one coming towards you/attacking at you when you're trying to find weak spots is quite hard.

There are more, but I can't think of them right now, or the games I'm thinking of might have been too hard because I was a lot younger at the time.