Define challenging.
OT: my two picks are dark souls and catherine. Both games are definitely not for everybody . Dark souls is challenging , but requires a lot of patience and trial and error , learning from your mistake , and timing. Veru fun game if you role play it like a DnD character.
Catherine is a very difficult puzzle game that requires you to be constantly thinking and on your toes. Even the easy difficulty is quite difficult , or so i hear , i started and finiahed it on normal, very fun , very fast paced and the story is pretty great . I did try it on hard on my second playthrough and couldn't do it . Check it out if you are feeling masochistic.
EDIT: if you are into jrpgs i do recomend resonance of fate, it is really tough even if you know what you are doing , and if you don't it's downright brutal.
Also: agrest war/agrest war zero, if you are into Sjrpgs. This game will punish you if you don't plan ahead and diliver your attacks strategically.
