Midnight Nowhere
(shivers)
Horrible game! I remember finishing it also through shear stubborness and thanks to a walkthrough with warnings of where not to look.
Two games I couldn't finish even with a walkthrough:
80 days - because I couldn't get him to jump on to a boulder or something, wich was the only way to advance in the game.
The Experiment - I couldn't pass the plants in the Tyriades area. Just the last straw in a game full of similarily frustrating parts. If I would have had the game developers in front of me then, I probably would have needed to be restrained. No game has ever made me as mad as that one.
