On the PS2, SOCOM (yes, the original) and MoH: European Assualt. Don't get me wrong, the latter is amazing and makes CoD look like nothing, but they just make it harder as it goes, and longer. At least SOCOM has checkpoints.
For the PS3, I have only had trouble on Dead Space 2. If you have ever seen me play vido games, it gets pretty hilarious. The first five chapters I spent throwing crap at necroes and doing random challenges. But at Chapter 7, I had to start paying attention. And nothing, I repeat, NOTHING, is scarier than going through Titan Elementary without an ample amount of ammo. Thank god the Ripper exists, otherwise they would've screwed me over on the stage in the school. I'm only halfway through Chapter 9, and haven't played it in a week.