Driv3r (Driver 3).
That game was actually much better than i'd heard, but the difficulty was insane. I restarted one level 230 times... and i didn't start counting until after about 30 restarts. I was honestly composing death threats to the developers in my head.
Buffy the vampire slayer (xbox)
The game was good, not great.... but there was one level with crazy difficulty and loads of instant death opportunities when enemies knocked you off the pathways into a void.
Ninja Gaiden (of course)
The crazy hard boss battle in the church that everyone knows.... yet this game was so well balanced that it never felt cheap when i died, so i really didn't mind restarting so many times (well, not much). Awesome game.
Ground Control
Great game. At least the first half was... i uninstalled it after that. The gameplay was great, but RTS games that kill you at the end of a 3-4 hour mission and have no in-level saves deserve to be sent to hell.

Oblivion made me go ARRRGH sort of. Once my character got up to 100 in Sneak it just seemed the enemy AI just completely broke and any semblance of a challenge was removed from the game. I'm sorry but I don't want to install a million mods just to play a game. I don't have the patience required to sift through and basically beta test mods.