ADoM. If you don't know what it is, hate yourself, and want to play the hardest game ever imagined look it up. It is a free text based game for the PC and possibly Mac.

Ninja Gaiden

Ninja Gaiden
Devil May Cry 3

The Hardest game I ever beated was Battletoads but the hardest game I ever played sucked so much

The original Mega Man is really hard, Castlevania I was not a walk in the park but the rest of the games (II and onwards) were pretty "easy". Original Metroid is really hard in the beginning before you get more energy containers.

Ghosts and Goblins is hard and frustrating, I was never able to play it all through. I've just tried Ghouls and Ghosts for a few sec so I don't know haow hard it is in comparison with the original.

Since I suck on shooters I have to add Xevious, I never got further than to the first boss, well, and R-type, and hundreds of other shooters :)

Edit: and yes, as mentioned numerous times before in this thread Ninja Gaiden. In Sweden (the whole Europe maybe?) it was retitled Shadow Warriors because everything including the word Ninja was too evil to sell to kids. :)  

A lot of the games listed here really are not that hard at all. I would mostly have to side with the classic arcade games of the third and fourth generation consoles (Ninja Gaiden, Ghosts and Goblins, etc.) But since everyone else has already mentioned these, here's another crazy hard game:

Try playing the fifth Fire Emblem game (Thracia 776). You have to be flawless from start to finish with your moves, and you'll still lose a lot of the time due to luck. I've never finished the game, keep walking away out of frustration, then trying again a few months later.

MOnster Hunter Freedom

 Itagaki wasn't at Tecmo when the original Ninja Gaiden's were made. Still, I agree that they are hard as hell. I've finished the first two and plan to attempt the third in the future.

Ghosts n Goblins is one of the harder games to me. I tried playing it again the other day and got my teeth kicked down my throat.

Then there are countless shmups that are so hard it seems cruel...far too many to name. 

I say Krustys super fun house on snes..

Played and never finished the 5-world stages..
Could be that i was too young or the game was so lame..Who knows