FFI - The NES version specifically. If you have not played the actual Famicon/NES version or a at least a faithful rom then you didn't play the challenging version. It's not just that the game requires a heavy amount of grinding, it also suffers from being really buggy and half the crap in the game doesn't do what it's suppose to. If an item says its effective against certain enemies, it isn't. Half the black magic spells don't even work (mostly the extremely useful buffing skills which makes the updated versions of the game a joke) as well just running into encounters like the one VeloZer0 mentioned. smurfing Mindflayers...

FFII isn't too bad for as grind heavy as it is. FFIII is pretty nice up until you hit the super long final stretch and suddenly realize how rare Phoenix Downs are and how the game was built before save points. Cloud of Darkness and her four guardians are assholes who will rape you and make you lose several hours of your life...

FFIV, if you play the version with original difficulty, mainly the Super Famicom or PSX port, then yeah, that game is really nasty with huge difficulty spikes. that come out of nowhere. The DS remake has it's fair share of "That One Boss" and they made the freaking Warlock/Sorcerer's in the Lunar Core probably the most feared enemy in the game since they are extremely fast and love to start the battle by nuking you with -aga spells. A group of 3, has you praying that Edge is fast enough to go first and use a Smoke Bomb.

V is challenging if you don't know what you ar doing, but we can say that about all the FF games. VI-X are a joke like Flying Arrow said. XII can be challenging but it really depends on whether you know what you are doing and how much of the side-quests you are doing. If you plow through the story, the game isn't too bad until Giruvegan. If you have been doing all the side-quests, you probably died alot, but the final stretch of the game will be disappointingly easy. XIII is also not so difficult, not counting certain Mark Hunts (Neo Ochu anyone?) but I also feel like it's the game that not only makes dying feel absolutely irrelevant, but also the game that kind of jumps back to FFI's tricks by just cheap shooting the player alot. The "Leader dies = Game Over" mechanic was really poorly implemented in this game, especially when the game liked to force you to use weaker characters as a lead, or when you jumped into a Eidolon battle and the game liked to change your party and paradigm roles without consulting you, or when the game liked to just nail you with unblockable instant death...