So funny reading the comments and seeing how many original NES games there are on here. I agree with the general consensus that they're the toughest games in video game history. No other generation comes close for me.
Ninja Gaiden 1-3
Castlevania 1 and 3
Mega Man (all of them)
Startropics (the last level took me forever when I was a kid and even now)
Zelda 2 (brutal but worth it)
TMNT (still haven't beaten it)
SMB 2 (using no warps, still brutal to this day)
SMB 2: Lost Levels (nightmare fuel)
Ghosts N' Goblins (nightmare diesel fuel)
Battletoads
Contra (w/o the cheat code)
Gradius (w/o the cheat code)
Gah, how many are there?? I love every one of these games, but they're all assholes.
As for newer(ish) games, Dementium: The Ward is brutally difficult. That's the one game I came up with that wasn't from NES days.
It'll be awhile before I figure out how to do one of these. :P
