Let's see...I know I'm forgetting a ton of games but here goes...
(Very loose order, difficult to evaluate different genres against each other)
Contra/Probotector - this is a special case since it was my first console game. It never felt difficult because I lacked context what was a difficult game. It was only later when I found out people think of Contra/Probotector as a difficult game. No Konami code.
Ninja Gaiden Sigma - just Normal difficulty
Gran Turismo 4 - 100% (licence tests gold etc...)
Super Meat Boy - all levels beaten
Richard Burns Rally - Champion difficulty
DMC 3 - DMD
Ikaruga - 1 credit with all levels pretty much chained (the game is not actually that difficult to 1 credit if you just shoot everything but I had decided I wanted to complete the game as it was designed to play which meant chaining the enemies. I had to practice 80 hours before I managed my first 1 credit run with score about 20 million. 80 hours for a game that takes roughly 23 minutes to beat.)
F-Zero GX - 100% without snaking or other exploits (story mode all difficulties, all cups all difficulties, all staff ghosts beaten)
Vanquish - God Hard difficulty - nothing really comes close to this. I had to sort of deconstruct myself as a gamer and build again from scratch. That's how badly God Hard difficulty broke me. The funny thing is people often mention the Challenge 6 and that's most likely because it's tied to trophy compared to God Hard where there's no reward at all. People want their Platinum Trophies or 1000/1000 so they try their hardest to beat Challenge 6 for bragging rights only lol.
Let me try to explain what God Hard feels like.
First you start with Normal difficulty, learn the mechanics, get better, struggle a bit here and there and finally complete the game. Then you move up to Hard difficulty. It feels easier, the game feels easier than the first time on Normal difficulty because you have gained experience. You eventually complete Hard difficulty and have become even better at the game.........and then you try the God Hard difficulty...
...and you find yourself doing worse than ever in the very first stage. It's a harsh realization. You have just completed the game twice already and now you suck more than ever and the worst thing is you can already think ahead how the game will ramp up in difficulty. Then you start your grind, it's clear you need to become a better player and if you concentrate and are willing to improve you'll make progress. Eventually you end up at the last stage, the last boss...the fucking Dual Bogeys. At this point it may sound completely ridiculous and it actually is but at this point the game somehow presents the biggest fucking ramp up in difficulty. It is something that cannot be explained, it is absurd. You thought it was bad when you first moved from Hard to God Hard and was completely owned in the first stage or when you faced boss X, or the boss after that or the next area after that. The point is, God Hard has been ramping up the difficulty all the time and have already reached absolutely ridiculous levels and then the Dual Bogeys kill you in 5 seconds......over and over and over and over again.
There are a lot of sad stories of players who made their way to Dual Bogeys in God Hard and eventually had to give up. I didn't give up but it did broke me mentally and from there I had to reconstruct myself as a gamer. I remember it feeling like I gave up everything I knew about the game or how I played it and started to see the game differently, it was like playing the game the first time. Bit by bit I learned something which helped me survive and after like 200 deaths it finally happened...I beat those fucking Dual Bogeys. My total death count was 400-600, can't really remember but for the people who have beaten God Hard it is not unusual to see deathcount in the four digits. It's very taxing experience and something that can easily end up in failure but I'm glad I saw it through. Even at this very moment when I'm typing this, the feels...it's been like 5 years since but thinking back...I still feel relieved.
That's God Hard.