Bionic Commando
River City Ransom
Crystalis
The Guardian Legend (though honestly with the !@^%!@^%!@%$!@#^@$&#$%$%!@#$ password system, well... as if the game wasn't frustrating and cruel enough)
I enjoyed those four the most, but they're all pretty unforgiving and sometimes counter-intuitive and then you need the internets to tell you what exact square in what cave to ride your dolphin to in order to find that plot-centric invisible item or what special dance you must do to open up that gate.
Gimmicks and other flaws aside, I want sequels to Crystalis and TGL... and they DID make another Bionic Commando game recently. No desire for another RCR. It was just cool at the time.
Obviously Contra, Mario 3, Ninja Gaiden and Metroid are awesome classics. So are Megaman 3 and Contra 2. Oh, can't forget Battletoads.
Man, all my choices are such hard games. Why were video games so CRUEL back then? How many of you have actually BEATEN Contra or Battletoads? It's not easy! Using the Konami Code doesn't count as a win either!
