I'm showing my age, but I played a really old game called Paladin's Quest that I rented from Blockbuster. And at certain part of the story you're locked in a room. I couldn't for the life of me figure out what to do, thus I never beat the game. This was pre-internet.
I'll add a second game that was during the 360 era. I found it in a thrift shop. Shrek Forever After. I couldn't figure out where to get Puss in Boots his boots. I couldn't even find a walk-through online. It was a bizarre experience. I just assumed the game was broken.
edit: I totally typo'd on the title. Lol.