Toss-up between Touhou 7: Perfect Cherry Blossom and Kaizo Mario World. I'd say the latter is harder but the former was infinitely more fun and when it comes to 'conquering' a game I really conquered that one (I still casually beat Yukari for fun sometimes when I feel like it) while with Kaizo I just barely made it through somehow and I don't plan on ever playing it again... at least not without savestates. Also it feels better to say I've conquered the superboss who canonically has the most ridiculous superpower imaginable.