The hardest game I ever played is Contra III: The Alien Wars for SNES, because of it's insane difficulty I never got to beat it not even on easy mode and the worst thing is that only the Japanese version had the cheat codes.

Also The Amazing Spiderman for GB, I do manage to get to the final boss but i usually spend all my lives and continue options doing so which means that I end up losing pretty quick every time.