F-Zero GX was a pretty challenging game, to me, though I beat everything in it. But it made me curse more than any other game this generation.
Mainly I'm just bad at fighting games, having to memorize all those button sequences, and dual analogue shooters (which I'm not bad at, just not as good as the guys that play them often).
A challenge is nice, but it is by no means necessary for me to enjoy a game.
Most of the puzzles in Wind Waker, I figured out relatively easily. The puzzle solving wasn't the best I've seen in Zelda, but it was pretty good, and it made up for it in other areas. One puzzle had me stumped for days, though, and that was the following the sword trick right before the final boss. I thought it was awesome when I figured it out, but it took me a long damn time.
Gohdan was cool. I remember fighting him for the first time (I was at a friend's house, had brought it over to show him), and he shoots that mega blasts of fifty blazing energy balls, and I was like HOLY DAMN.
I actually died on him, once. Not the first time, but once I got stuck in the electricity and he kept knocking me back in with super ball beam, until I died. I think that was a second playthrough.
(By the way, I've fought the Wind Waker final boss more than fifteen times, probably more than any final boss other than Starfox 64, and definitely more than the two for boring old OoT final boss).