For me, Grabbed by the Ghoulies is one of the most difficult games I’ve completed. Once you get gold medals on all 20 extra challenges (Which unlock one at a time for every 5 secret books you find in the main game) you unlock Challenge 21 which is replaying the main game again with limited health and no power ups. I heavily relied on these power ups scattered across the levels for health, invincibility, and instant kills on my first playthrough, especially for the final boss (Which will one hit kill you if it touches you, or if you hit it wrong). Words can’t describe my anger when my save got corrupted a couple months after I beat it.
Ignoring games where the difficultly can come from random chance and terrible controls, Holy Diver on the Famicom is probably the hardest game I’ve ever played. If I were to quickly describe the game I’d call it Castlevania on steroids. It starts out slightly difficult in the first stage but its true nature isn’t revealed until the 3rd and 4th stage. You have a standard fireball attack which you can always use, though it’s usually a last resort. Your main weapons though are the 5 spells that you unlock one by one at the beginning of each stage. All the spells are extremely useful from stopping some enemies in their tracks, shots that pierce through foes, orbs that spin around you, and a screen clearing thunder blast. Despite the difficulty I’m having a lot of fun figuring out strategies for getting past tricky parts. I recommend giving it a try if you like action platformers.