I'd have to say FF3 for the NES was quite a challenging game. The last few battles were extremely difficult, and one had to manage items and stuff effectively because you pass the cliche "point of no return" after awhile.
I don't know why exactly, but I seem to die in more random battles for FF6 than any other Final Fantasy game I can think of, and I'm not sure why. I'd say that this game has it's difficult moments as well.
Other then that, I can't really think of an FF game that had more than one or two difficult bosses, at least for me..
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