Megaman X (Series in General, specifically 1-3)

These were games that weren't hard due to hardware limitations, they were hard because you sucked and the only way to not suck would be to get better. That's the real type of hard that I like. Games that are "hard" because of unsavory enemy spawns and poor controls...I think they're just victims of poor programming or lack there of.

i cant really think of too many other than NGB

Fire Emblem Radiant Dawn.

Except I have beat it so many times it is easy for me now.

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 has to be Bloodborne for me. It was brutal; I never stopped dying.

Dark Souls for me. Super Meat Boy is the runner-up.

Ghouls'n Ghosts

From memory i have to say Sim City ( the latest one ) Thats why most of the times i just go sandbox mode and build any type of city i think of.

Life

Ecco the Dolphin...