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.
Manic Miner and Jet Set Willy.
Never completed them, even with maps, POKE cheats for infinite lives etc.
I think the problem was you couldn’t really save many games then, so you were always defeated by either dinnertime or bedtime.
I think the same probably applies to nearly every game I ever played on the ZX Spectrum, but those two I think I tried the most.
I came here to post exactly this. IIRC Matthew Smith said his playtesting rule was that, as long as he could successfully complete a room once, no matter how many attempts it took, it went in. Hardly surprising that doing the whole thing, even with infinite lives, was far beyond my eight-year-old self.