This paper investigates the complexity of finding max-min strategies for finite two-person zero-sum games in the extensive form. The problem of determining whether a player with imperfect recall can guarantee himself a certain payoff is shown to be NP-hard. When both players have imperfect recall, this is even harder. Moreover, the max-min behavior strategy of such a player may use irrational numbers. Thus, for games with imperfect recall, computing the max-min strategy or the value of the game is a hard problem. For a game with perfect recall, we present an algorithm for computing a max-min behavior strategy, which runs in time polynomial in the size of the game tree.