Hardest games I've played list:
GB: Pokémon Yellow (Until you know what you're supposed to do, you're pretty much dead.)
PS1: Digimon World 3 (Actually this game's difficulty is sorta artificial.)
PS2: Burnout Paradise(?) (At least the sequel makes up for the cons in this one.)
PSP: DJMax Black Square (Also considered artificial, since some of the missions get freaking ridiculous, starting with ones that require to have a perfect 100% accuracy.)
PC: Touhou 13 - Ten Desires (Everything is freaking slow in the first three stages. In the other three, it gets way faster. In short, there's a weird difficulty spike in the game, or that's how I feel. I haven't even unlocked the Extra Stage yet :/)