I recently went back and played through CoD4 on Veteran (well, except "Mile High Club", that still drives me insane)
That level almost broke me, physically into a stupor of non-game-playing. I took a few evenings of constantly dying to get that perfect.
Note: I stupidly, ever so stupidly, played through it from the beginning on Veteran - and so I hadn't seen what happens at the end (and wasn't going to replay the entire game in an easier difficulty just to get past that level), so I stuck it to them!
Oh, I showed them so hard! Yet I will not be playing Veteran first time in this sequel, oh god no...
Oh, only thing - MW2 is checkpoint based again, damn that sucks - I wanted to keep around my Veteran save so I could replay that level at will, but sigh...will have to manually find the save game files I guess