I'll have to go with something that hasn't been listed here in this thread, besides the one time in OP. X-COM: UFO Defense. Though I haven't played it in a while, I do remember it being quite complex and challenging. Especially if you go into it without any hand holding or hints. :p
I can't wait to get enough free time to play it again. :)
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Commandos Series. Definitely. I'll make my grand-great son play iy :D:D Sadism at its finest lol.
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battle toads and megaman series. Expecially megaman 6. But also Teenage Mutante Ninja Turtles chapter 2 were also hard.
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Super meat boy, and The impossible game (currently available on Android, iOS, xbox and PS2, it is on Steam greenlight)
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Tl;dr: I'll add up your votes and post a new thread with the results after this one winds down.
Here's my vote: Ghosts N' Goblins is probably the hardest game (hardest for me to win) that I still enjoy.
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THE LIST DOES NOT MATTER! PICK ANYTHING YOU WANT!
Here's a list of some other games that I think are fun and hard, in case it helps anyone choose. You don't need to choose from this list, it's just to give you some ideas:
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