Most challenging modern game

[loc978]

For shooters, S.T.A.L.K.E.R.
Slashers, Demon's Souls.
Platformers, Super Meat Boy. (unless you count I Wanna Be The Guy)

 

[ManimalR]

Earth 2150: Lost Souls- It is basically not possible to win after level 1 of the campaign

or

Earth 2160: most of the campaign is easy, except one level where my longest survival time has been 2 minutes, i'm not joking

 

[Hat-Wearing Man]

The Touhou Games always provide a challenge, even on easy mode. The newer ones are even more unforgiving. Still tons of fun to die as I improve, much better then when I first started playing and only made it to the 2nd stage and lost all my lives, now I can at least finish a game playthrough, but its still on easy mode. But there is still a Normal, Hard, and Lunatic Mode (and Easy is already starting at hard.)

 

[PekoponTAS]

"Prinny: Can I Really Be the Hero?" and its sequel "Prinny 2: Dawn of Operation Panties, Dood!" are both incredibly hard and frustrating 2D Platformers on the PSP. Prinny 2 is a billion times more cheap, and actually pretty badly designed compared to the original though, so if you do want to try one of them, go with Prinny 1. Of course if you're looking for hardcore dungeon crawling RPGs, you can't go too wrong with the "Etrian Odyssey" games.