Terra: Zelda games are pretty much the most tedious ones in regards to total completion. Can't say I agree with you, though, as I happen to be very patient with things like that if the game warrants my attention for a long time.

I can understand how irritating it must be, though.
As Eppy mentioned, one example of a difficult-to-100%-game is F-Zero GX, in which I was constantly swearing and showering my controller with sweat for
several hours due to the story mode chapters on very hard. In the long run, I ended up ridiculously good at the game, and went on to complete Master mode with every racer to unlock their videos in the pilot profiles.
Whether I 100%d GX is debatable, as I left three or so staff ghosts unbeaten, and I never obtained the bahamut custom parts (because you need to use your memory card with an AX arcade machine to get those ones, and no machine is anywhere near where I live!). Regardless, it was a challenge that I actually enjoyed, and I'd be willing to experience it again should there be another F-Zero just as difficult.
Another tough game to complete is any one of the Mega Man Battle Networks. I only ever 100%d 3 and 6, although the latter was
nothing compared to the former. Owning the white version, and a friend owning the blue, we collaborated for hours on end 'til we destroyed the damn things. The challenge came with obtaining the V4 chips of the navis using the custom style, and then battling the omega iterations of the super bosses. It still brings me joy to this day to turn on the game and see all those stars on the title screen.
As for difficult games that I never completed...
...Mega Man 9. Once I saw the "never get hit" challenge, I stopped bothering.
And Castlevania: Order of Ecclesia. Any person that can beat this game on hard mode with the lvl1 cap can pretty much deem what they did as a legitimate master run on a backloggery. In fact, to call it hard mode is an understatement in comparison to normal--it would have been better-titled as "asian mode".
I can't think of anything else at the moment, although I'm pretty sure there are at least a few other games in my library that are noteworthy of mention.
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Exate Land - ZC/ZZT works from years past.