Myst was pretty difficult; I didn't even finish it because when I reached the third world, I was already fed up with the game. The puzzles were too difficult for me; I'm not much of a technical or logical person, at least not in a myst-ish way. Another game I gave up on because of its difficulty was Atlantis 3. I loved the style and managed to get through the first episode without major problems. The Bagadad episode, however, was incredibly hard, the difficulty just went up a few notches. Still haven't solved that one puzzle involving small drawers...
Keepsake had some difficult puzzles as well but the game was so beautiful to look at that I didn't mind. The hint feature came in handy, too

The most difficult final puzzle I ever encountered until now was in The Moment of Silence. Even when I looked it up in a walkthrough I didn't get it. To be honest: I still don't get the logic of this puzzle and I know nobody who does