Haven't played too far in the Dark World levels but...

6-5: Omega in Super Meat Boy was difficult. Long level with some tricky jumps.
Combined with the fact that Super Meat Boy on PC is really finicky with hardware/software settings, it's possible to make the level impossible until you fix the issue.

The last few levels in Ninja Gaiden on NES are just insane.

Edit: I just remembered since Ikaruga came back to mind.

https://www.youtube.com/watch?v=iPx-oznzdTs  All I can say is, thank goodness for unlimited credits.

End of Chapter 5 in the first Uncharted and the final boss in Uncharted 2 on Crushing took a long time for me to beat. Also, the final level of Super Meat Boy.

I don't know about other people but trying to complete the entire F-Zero GX story mode on the hardest difficulty, especially the final mission. By the end, the game had literally beaten me to the ground.

First thing that comes to mind are some of the missions for Golden Eye when you try to unlock a code. Invincible mode anyone? : )

As Rol said, games from the 8 bits era were brutal.

Games like Ghosts N' Goblins, the original Ninja Gaiden and Battletoad come to mind. xD

But among my favourites were Contra and Gradius. The later levels were very hard if you didn't use the famous Konami code.

There are probably like 10 screens in I Wanna Be The Guy where I died at least 50 times.

It had to be Ninja Gaiden Sigma. I couldn't even complete the game at the normal difficulty (it had another name). I don't remember at which level I was in.

Also, Driver 2. Chase the Gunman, in Rio. The mission is EXTREMELY frustrating. Even worse than the ones of its predecesor.

World at War was rough but it is easy compared to CoD1 on Veteran

"Aztec" level on 00 difficulty in Goldeneye 64, the "Train" & "Control" were difficult as well but all because of Natalya!
Special mention to F-Zero GX Story mode & Sega Rally Lakeside track!

In Castlevania on Nes, that corridor before fighting Death is insanely difficult! The rest of the game not so much except for that area.