There's a Starcraft mission where you, playing Terran, get overrun by the Zerg right after you kill off the Protoss. I left one Protoss building standing until I was ready for the Zerg. "Ready" meant that I'd poured all remaining resources into planting siege tanks, bunkers of marines and a few turrets in the area where the Zerg usually attack. I finally knocked over the last Protoss building to win the mission. The story animation -- explaining that Kerrigan was being left at the mercy of the Zerg army -- lasted longer than the Zerg army did. If you didn't do something similar, you haven't played the game properly.
GTA3 had a cheat to make all pedestrians hate (and attack) you wherever possible. It made playing through the game much more of a challenge. There was another cheat to give the pedestrians weapons (including rocket launchers), which made it a bit too difficult for some missions.
And in all GTAs, it was possible to do a substantial number of the boring side-missions before the main story. Getting that 100th hidden package in GTA3 involved some tricky flying, but it had to be done. I still regret that there were 4 unique jumps in Vice City that I couldn't get at the start of the game.
In the Thief games, I liked to stack bodies (of course). I also liked to blackjack every human / kill every monster in an area, and then run around waving my sword for maximum visibility, setting off all the alarms.
Now I feel like I've shared too much.