Good old Rick Dangerous. I played the first for a while with a friend and we had too the love/hate relationship you mention. I remember a part (I think it was at the very end of the first level?) where you fall down a hole and you have to blast a wall woth your dynamite. But if you had used them all you couldn't go forth nor kill yourself in any way, so the only you could do was to reset the game. Damn you, Rick! I owned the second one (PC version). Sligtly easier, and you could select the first 4 levels at will. Still, to access the last level and see the ending you had to do them all in sequence starting from the first in one go. A challenge from hell. Of course, I never completed them.