tetris and freecell.

being your own opponent (high score) is always tough.

Battletoads (NES) - Very hard but sooo fun, I did beat it once with just one life left
TMNT (NES) - Hard, unforgiving and not so fun, I made it to the Technodrome a couple of times but never got through it.
Super Ghouls N Ghosts (SNES) - Challenging and fun but never had the patience to beat the game.

I did finally beat Battletoads, but did you even try my link out?  That game (IWBTG) is impossible.  I think I got up to a boss once that is all.  IWBTG is just instant death at every turn/platform.  I did some serious damage to Mike/1st  boss.  If i remimber right you have to go the high road to get to him.  This game is 8 bit glory.  Makes MegaMan 9 look like cake.

edit: to add link from last page.

Each screen you get past feels like a victory.  The demo is free and if you can get past that much you are already the man.

Just play the demo!!!

http://kayin.pyoko.org/iwbtg/downloads.php

fzero gx-still i loved this game
any of the nes megaman games
Super Ghouls N Ghosts-sorry but this game difficult is just ridiculous only game on the snes that i owned and never beat

 Did you you ever get to the "Eternal Champion"? He was a total bitch to beat as well, cos you had to beat him like 3 or 4 times I remember. I managed to finish the game with all the characters after much dedication. That was an awesome game!

1) MGS4 on Big Boss Hard. I couldn't beat Act 1.

2) Ninja Gaiden Sigma on ANY difficulty. Even Ninja Dog is unfairly hard.

3) Splinter Cell: Pandora Tomorrow, with Lambert's teleportation ring (you killed a civilian? I'm getting you out of there!), the lack of REAL melee attacks and the fact that 3 alarms meant a game over. Chaos Theory was so much better...

Honestly?   I think it depends... the hardest single gaming experience I ever had was the old Sega Genesis game "Jewels" on level 142 (see screenshot below) where literally new "Jewels" were dropping on the screen every quarter second or so and you add to move your thumbs before you could even think of where to drop the jewels.  The only reason the game ended is because after over an hour of doing this, my thumbs and my mind were worn out and couldn't take it anymore.

Devil May Cry 3 was a real bitch. I died five times in level two, and probably more than a hundred times in the three following levels. From there the game suddenly 'clicked' because the countless bosses had forced you to master all combo's, and it became a little less hard. Still I'd often die in random places though.

Final Fantasy XII is hard in an unfunny way. The battles are so damn automatic that once you've used your quickenings, all you can do is attack and heal, and if your level is too low (always the case) you'll never win. I'm currently stuck at a boss which I can never beat at my current level, but I don't really feel like grinding.

And how could I forget Viewtiful Joe 2. Man, that's just unfair!

Other mentions: God of War and Resident Evil 4 on the highest level, Zack & Wiki and No More Heroes.

Battletoads
TMNT
Ghouls n' ghosts

All three on NES.

Recently Megaman 9 reminded me of this 8 bit madness...

3 - F-Zero GX
2 - Super Ghouls N' Ghosts
1 - Final Fantasy XII (123 mode)

And it seems most of NES games are really difficult to beat.