Super contra - you have to get into like a zen-like trance to finish this game. Not on hard though. Then you have to be a deity.
Ikaruga - I love how this game looks, but Ikaruga is pretty damn hard. Never finished it, got bored with trying and trying again.
Warcraft 2 - Beyond the Dark Portal (expansion). Once you learn that you need to go on the offense as soon as possible it gets a bit easier, but the last missions are still pretty damn hard.
Civilization on deity (any)
Devil May Cry 3 - I finished this on hard, but never finished the "Dante Must Die" mode.
Ninja scroll series - NES; Exercise in frustration.
Ninja gaiden - pretty hard as a game but the hardest part if the stupid camera. 90% of deaths is due to some offscreen guy.
God of War 2 titan mode - one mistake and you're pretty much dead. I eventually got bored with redoing a certain boss and gave up.
Megaman - hard but fun and short enough to be doable (after a lot of practice)
I wanna be the guy - A game designed to make you smash things. Like your keyboard.
Some guitar hero songs make your fingers fall off.