One I haven’t seen mentioned here yet was Metroid Fusion on GBA. My brother and I would play it at night, then have trouble falling asleep, convinced that every sound of the house settling at night was the SA-X coming to get us
We never beat it then, and only years later did I rediscover it and beat it. They definitely nail the feeling of helplessness, but it’s so rewarding as the tides turn towards the end of the game