Many come to mind.
Ironically like the OP said, the Wily Capsole in his final form in Mega Man VII was one of the Hardest Boss battles I've ever experienced. I almost gave up thinking how is it possible to beat this fucker...
Captain K. ROOL from Donkey Kong Country 2 (2nd Fight after completing the Lost World).
Jaws from Goldeneye 007 in 00 Agent difficulty (Holding TWO M16 Rifles o.O)
Krauser (Evil Guile) from Resident Evil 4
This FUCKER (Gill) from Street Fighter 3 (Resurrection = cheeziest shit ever).
Dracula (3rd form) from Castlevania: Dracula X Chronicles (Spawn wannabe)
And finally the cheeziest and hardest boss I ever faced in gaming...
Sephiroth (Kingdom Hearts)
this meme says it all