Hearts of Iron (3 in particular)

One of the biggest problems with playing as the USA in Hearts of Iron is that you need to actually convince your Democracy / citizens that its worthwhile to go to war. And unless you click the "Crisis of Democracy" button (aka: turn yourself into a dictatorship), you don't actually have full control over the policies of your country.

Which is why its more fun to play as Germany / Hitler (where the button was already pressed before the game started). But playing as the USA (where you have to build support and convert the peacetime economy into a military economy in time for the war) is a big challenge... a "hard mode" for those who have already mastered the military portions of the game.