F-Zero GX was definitely insanely hard but also just awesome.

Ninja Gaiden tends to be like that as well... it can be extremely difficult.

Some games try to put things in that are insanely hard to do to make you want to do them more, and have something to unlock. Like Resident Evil 4 making you have to get 5 stars with all 5 characters on all 4 stages in the Mercenaries... so as to unlock the hand cannon. But that's just more annoying than anything.

THE JACKEL