I can only comment on Trophies.
Hardest game (that I own): WipEout HD. It may be downloadable, but HOLY HELL it's impossible.
Hardest trophy: I Chose the Impossible (BioShock). Complete the game on Survivor with NO Vita-Chambers.
Zone Zeus (WipEout HD): Get to Zone 75 on any track. This is pretty much impossible. By this time, you're going at well over 1000 km/h.
Beat Zico (WipEout HD): Beat 30.82 seconds on Anulpha Pass in Venom Class. For reference, my best time is 37 seconds.
Arcade Perfect (WE HD): Finish first on every track in Elite difficulty
Elite Campaign Legend (WE HD): Get Gold in every race in the campaign on Elite difficulty.
(You can probably see why I chose WipEout HD as the hardest game)
Most time consuming trophy: Online Champion (UTIII): Win 500 online matches. Or perhaps worse, from the same game: Get a Life: Get 200 kills in multiplayer on 50 different days.
Most painful trophy: Heart of Darkness and The horror...the horror (Far Cry 2). Painful because they require you to beat the game. I applaud you if you have the patience to do so.
Loads more, but these are the ones that came to mind.
(Former) Lead Moderator and (Eternal) VGC Detective 
