F-Zero GX and Megaman: Network Transmission.
F-Zero story mode is ridiculous, and was even the recipient of the "Harder than College" award in the Nintendo Power Awards of that year. The strategy guide states: "If you can beat this final level on Very Hard, build yourself a replica of Captain Falcon's helmet and wear to your next social gathering to impress your friends.
Megaman: NT is god damn impossible. You get battle chips to use, but they're limited, you have quite a wait to get more. Your normal blaster takes an absurd number of shots just to defeat the weakest enemies. And you're expected to have more than amazing reflexes. There's a split-second difference between safety and the vanishing of half your life bar.