Alien Storm (Mega Drive) - I've got really close to finishing this, but I keep dying in almost the exact same spot right before the end boss every time. Just feel I've reached my limit with this one.
Batman Returns (SNES) - With the exception of Streets of Rage I almost always find beat 'em ups annoying & awkward.
Batman Returns (Mega Drive) - Different game, but stupidly hard.
Die Hard Trilogy (PS1/Saturn) - I tried both versions but DH3 (the driving part) is impossible on both.
Dr. Jekyll & Mr. Hyde (NES) - You might know this from the AVGN videos. I just don't see how it's do-able.
Ecco: The Tides of Time (Mega Drive/Mega CD) - Maybe I was just bored/frustrated after the first one, but I didn't get very far on this.
Final Fight CD (Mega CD) - It's just hard.
Rick Dangerous 2 (Amiga) - I managed to get quite far in the game but you have to memorise everything perfectly.
Super Mario Kart (SNES) - Cheating AI.
The Adventures of Batman & Robin (Mega Drive) - Can't even get past the first stage.
The Adventures of Batman & Robin (SNES) - Different game and yet also can't get past the first stage.
X-Men (Mega Drive)
X-Men 2: Clone Wars (Mega Drive - One of the best X-Men games I've played. Really difficult, but seems like it might be do-able (at least compared to some of the other games on this list).
That I have actually completed:
Alisia Dragoon (Mega Drive) - Gets very tricky near the end and I got stuck on it for a long time. It's a very cool game though.
Captain Claw (PC) - One of the hardest platformers I've played. It's one of those games that just keeps getting harder and harder and harder. There's no break from it at all. Relentless.
Castlevania: Bloodlines (Mega Drive) - At the end you have to go through 3 screens (one of which has flying Medusa heads) then beat 3 previous bosses, then beat Death, then beat another boss.....then you get to Dracula who has 3 different forms to beat.
Castlevania: Dracula X (SNES) - Constantly getting knocked off platforms. Harder than SCIV.
Descent 1 & 2 (PC) - Cheap bosses that spam you with instant-kill missiles.
Ecco the Dolphin (Mega Drive/Mega CD) - The last 3 levels are ridiculous. "The Tube" is hard enough, but then you get to "The Machine". This is a level where the screen is constantly moving back, forth, up & down and you have to pick the right path every time or you're dead. There are enemies constantly coming at you too. This lasts for about 5 minutes, maybe more. You have to do this AND the last boss without dying. There's no password for the last boss so if you die you have to do the whole thing again.
Ghouls 'n Ghosts (Mega Drive) - One of the easier games in the series, but still pretty challenging.
Ghosts 'n Goblins (NES) - What makes this so much harder than Ghouls 'n Ghosts is that there is no boss checkpoint. If you die at a boss you have to start from the previous checkpoint. Also the controls are just so stiff and unresponsive you just can't make the character move the way you want it to.
Hagane (SNES) - Pretty difficult over-all and you have to kill the end boss while climbing platforms at the same time.
Journey to Silius (NES) - This one is a lot like Alisia Dragoon in a way. Difficult, but you actually want to keep playing it. One of my favourites from these lists.
Kolibri (32x) - This game is just awkward. Really, really awkward.
Mega Turrican (Mega Drive) - Not the hardest Turrican, but pretty close.
Ninja Gaiden (NES) - Memorisation only gets you so far. The precision needed and constant re-spawning make this really difficult.
Ninja Gaiden II: The Dark Sword of Chaos (NES) - see above
Shadow Dancer (Mega Drive) - You just have to be so precise all the time.
Revenge of Shinobi (Mega Drive) - That stupid dodgy double-jump gets me every time.
Silver Surfer (NES) As hard as this is, I was a little surprised at how hard some people said it was (I found Ghosts 'n Goblins way harder). I'm not even very good at shoot 'em ups.
Shinobi 3 (Mega Drive) - Much the same problem as Revenge of Shinobi.
Super Castlevania IV (SNES) - Easier than Dracula X, which is easier than Bloodlines. But still pretty hard.
The Adventures of Lomax (PS1) The start of this game is great. But after a while the difficulty is almost unbearable.
Turrican 2 (Amiga) - Took me several tries just to get past the first level.
Wing Commander (PC) - Mainly because I was trying not to get people killed near the end. But it's an annoying game anyway.
So......what are the most difficult games you've played?