Being thrown to the (figurative) wolves
This is not a list about games with wolves in them( For that, just look at the wolves page), although wolves certainly can be featured. No, instead what this list is about are games that pull no punches from the word "GO" and immediately start punching you in your sensitive extremities and perhaps confusing you with too many options. Maybe a better tutorial, some more direction or a more gentle difficulty curve could have been used, but chances are most of the stuff I'm listing is too old for any of that to have been "a thing".
In other words, these games start out difficult, directionless or perhaps both. Not that that's necessarily a bad thing, but it's something to consider when thinking about playing this stuff and deciding if you really want to struggle through some of the crap old games throw at you. Also all of these games are RPGs made from 1990 onward. Because if we started going into other genres (like say, the point and click or text adventure) or earlier examples of the genre (anything pre VGA graphics pretty much requires a manual) this list's cup would overfloweth. Obviously a lot of RPGs are hard, but these ones stick out as particularly notable in the immediacy of their toughness and/or aimlessness. Mostly because I've probably played them for a decent amount of time, or at least tried to play them. Even then, there are older games that are somewhat kind and gentle with their openings. Take Might and Magic III for example: The first town is pretty laid back with a basic initial quest and nothing will instantly one-shot you to death the same way other games can.