I just looked up one site's list of the top 10 hardest NES games, and I think I've legitimately (no Game Genie) beaten half of them. Most of them it was only once or possibly twice, but I have done it.

From their list:

10.) Top Gun - Played it a little, but always sucked at it.

9.) Bart vs. the Space Mutants - Awful game, but I beat it. This was a staple rental for my brother and I from the local gas station. (Small towns didn't have video stores 20 years ago.) I think I actually finished this one a couple times, not that it wasn't hard, we just played it a whole lot.

8.) TMNT - I have beaten this. It was one of those "play a while, then leave the NES on overnight while you were at school the next day" situations over the course of 3-4 days, but I did beat it. The ending robbed me of the last few shreds of my youthful innocence.

7.) Yo Noid! - Never played it.

6.) Karate Kid - Ditto.

5.) Double Dragon 3 - This one I beat one time, and one time only. Such a ridiculously hard game, and beating it took a lot of luck. This game I actually owned, and it still probably took me 2 years to get the perfect run of it to beat it.

4.) Mega Man - Beat this one. I recall it being tough, but nowhere near as tough as the other games I played on the list.

3.) Ghosts and Goblins - Beat every last infuriatingly difficult inch of this game a bunch of times, and then I think I beat it the second time through once or twice. This one was pretty much memorization of enemy patterns.

2.) Battletoads - This is another that I beat one time and one time only. Even doing the crow juggle trick for lives on the board where you descend the shaft on the ropes only prolonged the inevitable failure you were doomed to in this game. Beating this is probably my most memorable gaming accomplishment, and I doubt I could ever do it again. It took years of failure to finally get that convergence of planets that gave me the perfect run through it.

1.) Silver Surfer - Never played it. Glad I didn't, since I would have taken the difficulty of it as a personal challenge.

Other notables I can think of:

The Ninja Gaiden NES games (Beat all 3, although I think I beat the third one only one time. Another proud accomplishment.)

Cobra Triangle (Weird boating game. Rented it all the time. Beat it once. Crazy hard.)

Castlevania (I think I finished the original once ever)

Faxanadu (that reference will please one person here. Took me forever to figure out how to use the mattock since I didn't have the manual for the game. Down + B? That would have been nice to know.)

Ikari Warriors (I hate that game. I don't know if I ever got past the second level, and I played it a LOT)

Guardian Legend (I don't think anyone has yet to figure out how to actually beat that game, and the 5000 character passwords with all kinds of fucked up digits in them didn't help.)

There's others, like Kid Icarus, that are wroth mentioning, but it pretty much shows that the NES was far and away the most punishing game system ever created, and had the largest hand in forging the bitter, jaded asshole gamers of today.