Pretty much any game that involves a lot of memorization and/or lots of luck - so, a good chunk of the 8-bit catalogue, especially NES games (is it just me, or are Master System games from that period generally easier? Well, My Hero wasn't.). Some examples from my POV (many of them were mentioned): Battletoads, The Immortal, Holy Diver, Amagon, Zelda II, The Simpsons games, Swamp Thing etc. On the other hand, I do not consider most JRPGs hard, because you can "usually" grind, unless the game limits that in some way - those are really tough, more often than not, and the balance is wacky (limited encounters/frequent instant death spells, for instance). There are exceptions though, like Phantasy Star 2; that game is tough no matter what.