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counter-strike, have fun mastering it.

Habbo Hotel

I beat NetHack once. I think that's just about the pinnacle of my gaming career.

Myst... Never did beat it.

Wings of Vi is a pretty difficult game on 'normal' (assuming that you rename the three modes to easy, normal and hard). It's a sort of "I Wanna Be The Guy" style game only without the constant unpredictable 'gotcha!' moments. It controls well, and most of the game is designed to push you without being TOO ridiculous. Each bundle of screens is like a mini level in itself, and while I have to admit it's hard to stomach too much of the game at once, it's difficult without making things too 'artificially' difficult. Most failures fall down to impatience or simply needing to press your movements so that you move faster. The hardest part is figuring out the optimal way past each little encounter.

I remember Ninja Gaiden was difficult without being an ass about it. I recall it being harsh but fair.

Tales of Maj'Eyal

Dangerous Waters.
Fun how the small terrorist boat sinks your state of the art destroyer.

SG puzzles.
Only 1 level of difficulty.
Damn hard.

DMC 3. The first boss(in the second level) is so hard for a newcommer. After you get the hang of DMC, it become easier.

VVVVVV. Recommended for masochists.

Any game back in NES days, even on easy was more difficult than any game today on hard.

This one still gives me nightmares Link

Or this one that is worse than any horror game today or than any nightmare you would be able to imagine Link

Dark Souls, I still curse the day I won it here.

I haven't tried Dark Souls, but I can definitely say Super Hexagon, IWBTG and Hotline Miami 2: Wrong Number

To keep my list short I'll keep it to semi recent Steam games.

Volgarr the Viking - Requires very precise platforming, there's a set amount of health pickups per level that are often hidden, and enemy patterns need to be learned. Volgarr is similar to Ghosts n Goblins in that your jump arc CANNOT be changed mid air unless you double jump, but you won't be able to change your trajectory again until you touch the ground. Your health is represented by equipment that increases your abilities as you collect it, but lowers your abilities as you take damage.

Castle in the Darkness - Also requires precise platforming, only healing at checkpoints, and requires you to memorize enemy moves to beat them.
Castle is pretty much an indie Metroidvania. You collect power-ups like double jump to give you access to more of the world. Spikes kill you in one hit, so the platforming can feel like Super Meat Boy at times. Hidden armor and weapons can make fights easier, but even with the best equipment dodging the bulk of enemy attacks is a must if you want to progress.

Teleglitch - Ammo is somewhat scarce, map is randomized every time you start, many enemies are incredibly fast, you have a semi limited view most of the time, and you can easily kill yourself with explosives and the environment. There's a simple crafting system which you can use to upgrade your firearms, create health restoring items, or to increase the lethality of your explosives(at your own risk of course). This gives the game a lot of flexibility when it comes to dealing with the various mutants/robots/etc.

All of these games are single player, have only one challenging difficulty (If you do well in Volgarr you can access even harder variants of previous levels), were released in the last five years, are available on steam, and require skill to beat. If you like I would be happy to recommend more games, whether they be older, non Steam, etc. Enjoy!

Max payne 3 :D

Ghosts N Goblins for NES and Ikaruga

Some games on early consoles were really hard solely because there were no save games.

Takeshi's Challenge

On its own considered one of the most difficult games ever. Not knowing Japanese makes it even more impossible :P

edit: I will also add, the original Japanese version of Super Mario Bros. 2 is soul-crushingly difficult.

While I don't really have too much experience in the genre, I generally consider Hitogata Happa to be probably the hardest Bullet Hell game I've played related to other similar games in a genre that is already universally seen as difficult. It's the only one where I classified the "Easy" difficulty as "Normal-ish", the "Normal" difficulty as "Fucking Hard" and both higher difficulties as "Damn Near Impossible". So I guess I could say that one is quite hard on Normal. :D

Minesweeper.

BBBBBBBBBOOOOOOOOOOOOOOOOMMMMMMMMMMMMMMMM

I played Bloodborne once
Played for 3 hours never died once
Almost died at the cerberus/werewolf or whatever it's called
The first boss is pretty easy
I don't understand why people complaining, I guess my timing was right xD

For me it's Valkyria Chronicles
At first I don't understand, it's way too hard
My characters are dying so easily
But then I understand the "Orders"

For old school game..
Contra
That is just impossible!

Battleblock Theater is really hard to play with only one person.