Even at the highest difficulty setting Heretic II wasn't the most difficult game I've ever played, nevertheless I was forced to cheat for the only time in all the games I have played to beat its first boss, the Celestial Watcher: in that cramped final room of Silvermines, without any cover, I wasn't able to stay alive enough to kill him.
Perhaps I missed something obvious, as I didn't find on the net very much people having so much difficulty to do it...
Excluding this mishap, the most difficult games I've played are, well, regarding fights perhaps most good FPS offer adequate challenges, regarding RPG, sneak'em up and similar, the Thief series, Fallout 2, Deus Ex and Planescape: Torment, where I must reload very often, as it's very easy to screw things up.
But the most difficult to finish actually for me is Morrowind, I've fallen in the vicious circle of exploring all and doing all the quests, so after a while I got tired, suspended playing it and now I find it difficult to continue playing it, I've lost the thread of what I was doing