Don't laugh.
I had a hard time with Contra, A very very hard time.

Megaman 9.

megaman, all of them, and despite i never did more than 3 bosses before going blind from rage i still buy them and love them. but god their hard

I know that you had a hard time finding the search bar.

Anywho, Recently it was DMC 3 on Dante Must Die.

They made a Hitchhiker's Guide to the Galaxy game. At the beginning of the game you check your mailbox and it's full of junk mail. If you don't take it with you, you can't win the game because you need it to distract a vicious vacuum cleaner robot later on in the game.

Classic Douglas Adams.

Battletoads. I defy ANYONE to beat that game without using save states.

Devil May Cry 3. If anyone laughs at me I will castrate them, I've just never been able to complete it D=

JanatUrlich:
Devil May Cry 3. If anyone laughs at me I will castrate them, I've just never been able to complete it D=

This. I think I got as far as the Cerberus dog thing (pretty much the first boss of the game) before I had to surrender to the games suggestion to take the retard difficutly option.

Homeworld 2's campaign popped into my head for being particularly difficult. Although that could simply be a case of me being a bit of a thicky when it comes to RTSes. Especially ones that complicate things with 3D movement. Nevertheless I did enjoy that game, though only when the enemy AI was set to the 'Infant' difficulty setting.

Dorf fortress and touhou, both games make me want to rage quit.

SILVER SURFER ON THE NES!!!! JUST THINKING ABOUT MAKES ME ANGRY!! GRR! CAPITALS!! (sigh)

I Want To Be The Guy and Battletoads.

Old game but Return to Zork. Sometimes I'm ot even sure what caused me to die or when >_<

It's funny that youyou should ask, II belive that mymy hardest game was the search bar.... okay I'll stop being an ass. Sorry.

Okay truthfully, Dead Rising. It's almost flat out impossible, often the difficulty just comes from poor programming.

I tried to play Ninja Gaiden once. I couldn't beat the first boss.

I would go with God of War; not because the game is that hard on normal, but I found it fun enough to try on the hardest difficulty. And that was still fun enough to keep going for a long time, despite the fact that you have to time things almost 100% perfectly on every single boss fight (I finally gave up on the part where you have to defend your family; I beat it on hard but on hardest difficulty it was just too difficult for me). Most games I never try at above normal difficulty because it doesn't feel worth playing through again in frustrating difficulty mode.

Oh yeah. And Battletoads. But that was back when obnoxious difficulty was ok for console games... I had a lot of fun with that one.

Strafe Mcgee:
Battletoads. I defy ANYONE to beat that game without using save states.

My brother has actually beaten it... I haven't, though. It helps to have 2 people for most of the game, and then during the racing part, just have one suicide out of the game. The rest is memorizing the level so well you could do it blindfolded...

Mushroom men:Spore Wars

but honestly it is Metroid Prime.I hate games where u need to get to a certain point in a level to save

The Star Wars games on the SNES. Very annoying.

Harvest Moon 64

Real Life 1.0 especially the level where you have to understand the girls!

Normally I would list a insanely hard game like Ghost and Ghouls or R-Type 3. But that's kinda cheating imo.

Devil May Cry 3 takes the price thou. Being really hard when you just put up the difficulty a bit and you have yourself a homemade hell.

Since I began gaming in the 64-bit era, the hardest game I've played would have to be MegaMan 9.

Mirror's Edge is pretty fucking hard for a game that I started playing on the EASY difficulty. Easy, my ass. You can't even take on TWO armed policemen in the game without dying horribly 90% of the time. And don't even get me started on the amphetamine-fueled ninja cops that appear later (yes, they really do, this is not a joke) or the HORDES of SWAT teams hurled at you in the later stages. Apparently the developers didn't really GET the concept of 'fragile speedster.'

Strafe Mcgee:
Battletoads. I defy ANYONE to beat that game without using save states.

You have to say "Battletoads" in a deadpan voice every time you load state.

The game that's given me the most trouble is GTA San Andreas on PS2, simply because I suck all kinds of suck at console action games post-SNES era. Back in the 8 and 16-bit days I was an ace at them, but becoming a PC gamer in the meantime shredded my console skills.

Something Megaman or possibly Metal Slug 3. Then again, there's Gradius V and Castle Shikigami 2, which are both plenty difficult. I've also played quite a few sadistic little freeware games, like the Kenta Cho ones. Some of those really can't BE beaten-you just play until you die as far as I know.

SimuLord:

You have to say "Battletoads" in a deadpan voice every time you load state.

Or, listen to this whilst playing: http://www.youtube.com/watch?v=JgNxPomrtfY

I reckon Fire Emblem (as in the GBA games, since I'm English and therefore not worthy to get the rest of the series, apparently) are pretty difficult, since the AI can sometimes catch you off guard if you've done something that leaves ANY opening, coupled with the fact that when your characters die, they stay dead.

I still haven't beaten Ikaruga on anything but the easiest mode. Thats a damned hard game in my book.

Other than I Want to be the Guy (which doesn't really count since it was made for the sole purpose of being insane), I'd say Alien Hominid. I can barely squeeze past the first level.

Ninja Gaiden 2 on the hardest difficulty was pretty damn hard.

mmojunky:
Real Life 1.0 especially the level where you have to understand the girls!

At least you get a good reward if you do well enough.
They nerfed the game for the most part by replacing the hard missions with grinding (the school levels really need improvement), but since they introduced guns combat got ridiculous.

matnatz:
I know that you had a hard time finding the search bar.

Anywho, Recently it was DMC 3 on Dante Must Die.

You've never tried hell or hell mode have you
1 hit and you die

I Wanna Be The Guy. I know that this is a generic answer to this question, but IWBTG is SERIOUS FUCKING BUSINESS.