NES: Zelda II: The Adventure of Link
SNES: Idk, really. I wouldn't say any of them were really that hard. SMT I, perhaps?
PS1: Vagrant Story
PS2: SMT III Nocturne (haven't even beaten it)
PC: Diablo II (hard of the very unfair kind)
DS: SMT: Strange Journey
3DS: Just like the SNES, I don't think I've really played a hard game on this system. FE: Awakening and SMT IV come close, but in both cases the DLC missions really removed any roadblocks for me (which I actually consider a good thing because that saved me a lot of frustration)