WipEout HD's trophy set is actually the best I can think of, because of how some seem utterly impossible, but are actually very doable. And the Big 3 (Zone Zeus, Beat Zico, Elite Campaign Legend) make it a journey. Chipping your Beat Zico lap time down from 4 seconds too slow, to successfully squeezing in barrell rolls where barrell rolls don't even fit, to finally nailing the most perfect of laps and going nuts with celebration. Or going from always crashing out at Zone 30 to getting excited about hitting Zone 65 and finally seeing your target slip into the list of upcoming zones. Or that one time you crashed out at 48/49 when going for Airbreaker. So much amazing shit happens on the road to Transcendence.
PAIN and Trash Panic, however, as many have said, can fuck right off.