Tomb Raider 4: So many times. Worst was in that level with multiple areas to enter, I remember running pointlessly between them, trying to find missing artifacts. It ended up that I ran out of medkits, trying to climb through spaces with unkillable spirits chasing me. Only like I finished this game like few years later until I got proper walktroughs.
Indiana Jones and Infernal Machine: Multiple times, but doable after half of day wandering.
Doom 2: That arena level with flame-thrower beasts and electric spiders.
Command and Conquer TD: Hardly managed to get past level 4(apc vs tanks!?),6(only one guy!),11(that damn flame tank!) for GDI. And missions 4(that's army? Are you kidding!?), 6(Again...) and so on for NOD. Pretty much every no-base mission or mission that starts a long before actual base.
Red Alert 2: Final Mission for Allies and Pre-Final Mission for Soviets.
Rage of Mages/Allods 2: Pretty much towards middle game, until recently, something 10 years. (This game is not playable without proper multiplayer experience)
