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For me, in Zulag 4 just before you reach the Boardroom, where you are controlling a slig and have to turn around and shoot oncoming slogs from both sides. So hard and unforgiving! Something that makes Oddworld truly great. 
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I had more trouble with this part than any other, even the very very last bit, where you're saving the 'last' Mudokon for Shrykull. Humungous pain.