Hmm...I'd say the most recent difficult game I've played is Demon's Souls. It's hard but not in a cheap way. When I bought it the Gamestop guy was warning me about the difficulty level; he clearly expected me to bring it back and complain. He was disappointed. It's the kind of challenge I like and really, once you get past the rather steep learning curve it's not so bad.

Some games were hard the first time I played them, but when I went back to try again after a few months/years I usually find that it's not as hard as I remember. Usually it's a case of me being too worked up and frustrated. Once I go back and look at it with a more patient, objective view I see where I messed up and can easily get through it the second time. Unless the game really is that damned cheap, in which case I simply move on. I can't remember any specific titles that were hard in a cheap way, though.

~DragonHeart~