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

Maybe a bit late on this one, but Catan! I've known about it for years, never owned it myself, and have only really played in the past weeks. Especially the Knights expansion, it feels like it almost adds a cooperative aspect? That we want to make sure we have enough knights before the pirates come, but still wanting to be the one with the most