Rocket Knight Adventures on the Megadrive. Challenging, but never unfair, fantastic visuals, amazing music, smooth controls, brilliant levels, fairly unique ideas married with the familiar, fucking awesome bosses and several sections that somehow managed to be legitimately terrifying even though you were playing as a possum with a fire throwing sword and a jetpack... *and... breathe*
I fucking love that game.
Super Metroid is a very close second. The jumping is a teensy bit clunky, but the environments are memorable, the soundtrack is so dark and sinister (almost makes it feel horror-esque at times!) the bosses are intense as fuck and exploration is so fun. It also really surprised me when I first played it as I was used to the Mortal Kombat-censoring, Mario releasing Nintendo and this game just seemed so dark in comparison. I mean, there are dead people on the title screen, for early '90s Nintendo that was pretty darned hardcore.