There are quite a few hard games that I didn't beat, but as far as games that I spent a decent amount of time on and still didn't beat: TMNT for NES. I tried the game about a year ago(first time in over 15 years) and realized I'd have to dedicate some serious time to beat it.
Mike Tyson's Punch-Out was on this list for a long time, but I decisioned Iron Mike earlier this year.
Ninja Gaiden was also a toughie, but I had never owned or borrowed the game long enough back in the day to give it a serious shot. However, I got the game and finished it earlier this year also.
A real doozy that kicked my butt was Super Ghouls n Ghosts. Like Ninja Gaiden originally, I had only rented it, but realized that it would be a mamma jamma to beat. I got this on GBA a few years ago and still haven't beat it.
Battletoads, F-Zero GX, and quite a few shmup's are cruel in their difficulty, but I haven't put enough time in them to say I gave it a good effort.
"I feel like I could take on the whole Empire myself."
