Yeah, FFI and III are definitely the only ones that I can think of that are genuinely difficult. All the rest aren't' hard because you shouldn't lose if you are properly prepared and with a right strategy (FFIV, V), the learning system is abusable (FFII, VIII, and possibly X), or has many exploitable bugs/glitches, and power-leveling strategies. (VI [!!], VII, and possibly FFIX or FFT.) Or, as most RPGs, or FFs at least, tend to suffer from (in the modern games, and especially the GBA remakes.), free crap. Like 'ultimate weapons', super items and equipment, and special attacks that hit multiple times in succession for thousands of damage. And the free items that are just given to you, and money which is enough to buy whatever it truly neccessary.

And, even FFI can be a breeze if you're a seasoned player. You can still die if you're not careful, but if you're prepared, and know what you're doing, there's no reason to die at all.

Which leaves FFIII, with it's 'make-or-break' moments, like Tavrobel said, the Giant Rat is a big example. As are the other mini and toad dungeons, and the Splitting Monster Cave is also an example. If you don't know what you're doing, you will die, plain and simple. And if you aren't careful, you can get caught off guard. Which is why I think it's the only genuinely difficult FF I've played. It's not brain-numbingly hard, but I would say that a number of people could just give up and stop playing if they didn't know what to do at certain points. Although Dragon Quest II is still the hardest RPG I've played.