Demons souls was hard, but I remember finding the first Uncharted in Crushing difficulty very hard, the swarms of enemies overwhelmed and it was literally 2-3 hits and you were dead. It was a very satisfying feeling when I finished that.

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Zelda II.

The fair way, on my actual NES, no guides or other help from the internet. Figured everything out for myself. Just me and my golden cartridge. Sucks that in this day and age of let's-plays, walkthroughs and emulators or virtual consoles with save-states I'll have to put in this disclaimer for this to be in any way impressive. I had a Game-Over (three loves, plus extra ones you'll occasionally find) 126 times!

On console, contra 3 and zelda 2 probably, on PC Crusader kings 2, i finished a world conquest !

Halo 2 on legendary.... probably, not giving it too much thought but I'm fairly certain it was.

COD black ops on veteran probably. Don't really enjoy punishing games ain't got know time for that. These days I don't even touch the Single player on games like BF or CoD

Not sure if I'm forgetting some games, but the hardest in recent memory would probably be supermeat boy. TLoU on grounded mode was a decent challenge at times. Loved it's approach toward being more realistic. 

As far as mentally difficult, Braid was definitely a challenge at times.

Indiana jones greatest adventure

Most all of the more difficult games I have beaten were back in my childhood on NES.

TMNT
Castlevania 1-3
Double Dragon 1-3
Ninja Gaiden 1 and 2
Metroid
MegaMan 1-3
Zelda 2

I feel like I beat Battletoads at one point, but I might've just watched my brother do it. He is much better than I am at pretty much all video games.

Someone mentioned Vagrant Story, not sure I would classified that one as difficult but if so, throw it on my list here too.

God damn!

This thread made me sign up after almost 10 years lurking on this site :P

It's obvious that a lot of you are too young to know what a hard game is. Of course I will repeat a lot of games allready mentioned but here are some:

Zelda 2 (before internet), I don't think it's a hard game but apparently internet does. Oh and of course I didn't use guides (didn't really know about/where aware of guides until the SNES era).

Simon's Quest (before internet) without guide, must admit I only got the black and white ending.

Metroid (before internet), again I don't consider this a hard game but apparently internet does. Of course no guide only maps I drew myself.

Snake Rattle 'n Roll (NES), I still get angry just thinking of ome of the later levels (i think it was level 9 or 10), unforgiving is the only thing that comes to mind.

Doom II, Nightmare difficulty no cheats.

Megaman 9 and 10 are the most recent games I consider difficult that I have beaten. They are truly a great example of games that are Nintendo-hard (to me Nintendo-hard is a positive) and they are way harder then any of the original Megaman games (Megaman 1-6) since I consider the originals as fairly easy games.

What destroys the gaming-youth today is the constant save-scumming. Makes it no effort to beat games when you generally only need to replay max 5 min of the game to pass a challange (I will admit this is a sweeping generalization before someone digs up 1-2 titles (out of hundereds) that are stricter with save spots).

LoZ:BotW, even if it is an exelent game would have been better with no ability for manual saves (except save and quit), longer intervals between autosaves and weapons with a bit more durability.

Now get off my lawn!

EDIT:// tried to edit for crappy spelling and weird autocorrects