Do the Tony Hawk games count? In THPS2 and 3 (don't know about the first one), you would unlock stuff by beating them over and over with different characters, so those would definitely be mine if they qualify.

Other than that, I don't think I've finished anything more than twice. The most recent was Grand Theft Auto IV for the trophies on PS3.

Is it too late to change my answer to TF2?

No kidding, the hardest part of the whole game. I go up the trail on the right and grab the flash grenade. Then the only way the notzombies can get to you is up that narrow path. Ammo conservation is critical, so lots of knee shots and knife slashes.

You can also go to the last house on the left and grab the shotgun, grenade and shells and put up your fight on the roof.

Snatcher on Sega CD. Beaten the game dozens of times.