Way of the Samurai for the PS2 had a very steep learning curve. It's a very small game that only lasts about an hour, but if you die once, you have to start all over. It has a system in place where you can carry over swords from previous playthroughs, but if you die while having certain swords, you lose those.
The game also has multiple endings. some of which requires you to win specific fights throughout, otherwise you won't get it.
All in all though, it's a pretty fair game. A good example of how to make an actually hard but fun game.
Darkest Dungeon was also very hard, but for a lot of the wrong reasons I feel. Sure, I can understand having RNG aspects to it. The sanity of your characters and whether or not they crack does create some tension and dynamic gameplay.
However, the game gets pretty bullshit at times. Like how you spend so much goddamn time leveling up some characters to max only for them to bitch out after completing (or failing) one of the final levels, forcing you to create an entirely new maxed out party. Just seems like padding out the game by that point.
Supposedly, the game's development suffered from the devs listening too closely to players who enjoy masochistic and tedious experiences in their games, you know, a very small minority of people, and end up creating a game that's in a lot of ways a chore to play through.
They apparently updated the game quite a bit so it isn't quite as bullshit, so maybe I'll come back to it...