Like everyone else said, I Wanna Be the Guy. Currently somewhere in the Ghosts and Goblins section because you have to go through about 2 and a half long screens without a save.
Also, Ninja Gaiden 2 on Mentor (hard) because I'm too stubborn to skip the first Test of Valor. I want my Lives of the Thousand and the upgrade essence. It's too annoying trying to kill ninja that spam exploding shuriken, grab you and blow their arms off (then try to grab you and blow you up again), or shoot fireballs and summon pillars of fire. Oh, and spinning dives to the ground don't always make their heads explode the first time (cheap!)
Got stuck forever at the very end of the Forest Temple on Ocarina of Time because I didn't know the blocks could be pushed. I tried blowing up everything in that room, but got nothing.