I always thought the original Mario and Zelda and Mega Man 2 were hard as all hell. But my reflexes are nonexistent and there should be laws against me trying to play sidescrolling games. I used to play this top-down shooter on the NES called Legendary Wings that kicked my ass as well.

As for new games, Devil May Cry 3 (the non special edition), Shinobi, and Vagrant Story all frustrated me with difficulty and quit being fun.

Edit: I think Pong is hard too