I second, (or maybe third or fourth by now, since I stopped reading after page one), Ninja Gaiden. That game had me pulling my hair out at the sheer difficulty. You really need to master every aspect of the controls to beat it even on normal mode.
To be honest though, I am not really that great at games in general. Most games that people find to be relatively easy, I find challenging. The hardest game I think I ever beat with absolutly no help from any guide or cheat would have to be either Resident Evil 4, or Pikmin 2. Now I know neither of these are particularly difficult, but like I said, I'm not really that good. I've beaten harder games probably, but I used guides on them. Beating Pikmin 2 sure was difficult though (IMO remember), I had to replay that last dungeon (I think it was called the Dream Den) about a million times...
Edit: heh, heh, post 69