Broseph
Dangerous JB
I don't know if this counts, but wandering into the mutant base early on, in Fallout, you'll get thrown in a cell and have a really difficult time escaping.
This blew my mind when it happened to me, one of the best moments in RPG history.
Fallout is like twenty hours of consecutive best moments in RPG history.
OT, although I can't point to a lot of specific examples I like when a game punishes me for trying to rush through things. And basically I like when you can really screw yourself over in a game by inadvertently wandering into a high level area and suffering the consequences, but if you play your cards right you can get epic loot, etc. I like that kind of thing. And I like games that provide ways of getting past high level stuff early on for the attentive and analytic player. The prime example of this would be, well, Might and Magic. In MM3 there are fountains that will temporarily boost your party's levels by 20, so you can use that and then cast Lloyd's Beacon to return to a really hard dungeon and kick some ass. At the same time, it automatically saves over your one slot so if you save when you're in a jam you can find yourself in an unwinnable situation, and although you can use Mr. Wizard to get out you still have to suffer the experience penalty, so that could be considered a failure state.