Well, it would be too easy for me if it was an indie game or ROM hack... I could say any super mario world ROM hack that I have seen that looks any harder than I wanna be the guy.
So I am gonna say rayman on the PS1. Mainly because of the limited continues, but I swear it is so punishing. Also, it may be my screen, but when I play the DOS version the screen is letterboxed and I can hardly see anything below me.
I guess the redeeming value though, is that when you do it once, it is really easy to do a second time.
Also, this is merely out of personal experience... unfortunately... I haven't really played any non-arcade games that are harder than that.
Edit:
matrox said:
The very first Rayman.
I have never completed it, and I always try to complete games I play.
Wow I didn't realise someone posted that. I am new to these forums though, the term is ninja'd... right?