Kezardin: A DOS game called Pacific War by Gary Grigsby.
There was a lot to do in this game - World War II in the pacific, played in hourly turns.
To try and make sure I didn't forget anything I had a turn sequence printout that covered about two pages. A full campaign game could take upwards of 100 hours.
It's still available as a freebie from Matrix Games, along with its cousin, War in Russia.
If you don't mind paying 50 or 60 bucks, Grigsby and Matrix have a game called "War In the Pacific" which is a updated version of Pacific War, with a improved interface and much better AI.
predcon: Long ago, in 1986, MicroProse and ORIGIN published an Amiga version of Steve Jackson's board game "OGRE". It's a strategy game played on a hexagonal-cell board. Basically, you have several turns to set up your army, made up of tanks, howitzers, infantry squads, etc., and one HQ. You even get the opportunity to set some "barriers", which basically make a cell permanently unusable, and look like pepperoni slices. After the "setup" period, the OGRE supertank appears. Imagine, if you will, a combination of City 17's Citadel from Half-Life 2, and a Metal Gear. It's a mobile, nuclear powered, battle fortress. I've never beaten it.
This is about Complicated games, not "difficult to win " games. Big difference.