The hardest retail game ever made is "Battletoads" on the NES. If you don't believe me, go look on any top hardest game list, and this one will keep on appearing as #1.
The one game that keeps coming in 2nd is the Ghost and Goblins on NES. (FYI the one on SNES is called Super Ghouls and Ghosts.)
Here are other hard games:
Silver Surfer
Demon Souls
Contra
Shinobi
Ninja Gaiden
Castlevania
Megaman (NES)
Zelda 2
Ikaruga
F- Zero (Game Cube)
Dragon's Lair (NES)
And that's about it. And if you still don't believe Battletoads is #1, you can play it on that website I mentioned in my Gaming challenge thread. But for those not familiar with it, here it is.
http://nesplay.com/
Soooooooooooooooooo............. do whatever. And oh yeah, the website's pretty awesome too.