I see a lot of more retro games being mentioned here, and while I agree, I can't help but think that their difficulty comes more from their clunkiness and bad/outdated design. But maybe that is generalizing too much. Either way, it's not particularly relevant - they are still harder.
In which case, hm. I definitely think that Skullmonkeys for the PSX was pretty damned hard, especially the later levels. I have never beaten it, which is a shame. I think my disc cracked.
Most of the old Final Fantasy games, particularly II. Again, maybe it is just bad design, but it is the only FF game I literally ragequit on.