Beating Omega in FFV without using the Sshot!/sorcerer/Two swords strategy. Ozma from FFIX was a pain too. Their is also trying to get Pink Tails in FFIV and just trying to beat FFX-2 without losing your will to live.

But I still think that just trying to beat Vagrant Story is the hardest. Even with a strategy guide it's still difficult but it's far more difficult (and fun) to do it solo.