For me it is Shin Megami Tensei: Devil Survivor Overclocked on the 3DS..

I just beat it last night (took me five hours to beat the whole final boss sequence) and holy fudgcicles. This game truely is challenging, and I am familiar with the Shin Megami Tensei franchise. So for it to be pretty challenging for someone who is used to how these games work, I can't imagine it for someone who starts out the series with this game.

It's a fantastic game that has tons of replay ability and the story is engaging. But I do not think I have ever gotten as frustrated at a game than I did with this.

"Serious difficulty" should be forever immortalized in the dictionary when you look up the meaning of "challenge". Overcoming this can probably cause some serious problems to your health and sanity, but it is a worthy challenge for those who love an adrenaline shot while playing.

I know some people will say Bloodborne or the Dark Souls games but once you are used to the gameplay, are they really that challenging?

For me the most challenging are Driving games. Unlike most games, they require absolute perfection to be able to win, get the best time, whatever. I'm a big fan of WipeOut, to be able to do the turns needed in that game at the highest speed while fighting off other opponents... get it right and it holds a great deal of satisfaction.

Fire Emblem: Radiant Dawn on hard difficulty.

nethack

f zero gx (story mode)

recently

hagane (snes)
super ghouls and ghosts (snes)

Lol, well I will say none of the games mentioned can hold a jockstrap to this one. Only met one person who beat it on the NES: Silver Surfer.
/thread

Ikaruga , F-Zero GX (story mode), Ninja Gaiden (NES, area 6-2), might as well add a decent amount of 8 and 16 bit games to the list

Ninja Gaiden

like the op, killzone 2 final boss on the highest difficulty toke me 6+ hours to beat. it was ruthless. add that with the fact that i was still a bit green playing FPS with a controller and you get a afternoon of pain...