Super Meat Boy had that effect on me, I couldn't give up until I had finished everything 100%, which can be really annoying!
Stages such as the "The Kid" ones are infuriating!
EDIT - another cool game that frustrated me greatly is "Road Blaster" (the arcade one)... I played it in Daphne and recorded a longplay, and I decided I wanted to record the full game without losing any lives... I ended up losing one life on the final stage and figured that would have to be good enough as I was so very pissed off
I had started the whole thing over countless times, and being a quicktime event game, that means I'd seen the same scenes over and over, so many times!
(The longplay in question -
[ Show youtube player ]
EDIT 3 - Just remembered another game that I like but that frustrates the hell out of me - Netherworld for the C64!
I've only finished the game twice, ever, and I doubt I'll do it again... the time limits are just too strict, imo.