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.
All those old LucasArts games (Day of the Tentacle, LOOM, Indiana Jones & the Fate of Atlantis, Sam & Max, Grim Fandango, Full Throttle, &c) and similar adventure games (Kyrandia, King’s Quest, &c). My mother played all of them and beat them, and while I watched her play I never really managed to finish any of them without looking up guides.