E.T. for old Atari

Milon's Secret Castle for NES

Crazy Climber for Arcade

Shinobi for Arcade

Myst for PC

Ninja Gaiden NES and Xbox

GunValkyrie for Xbox (not a great game unless you can get it for free)

Super Gouls and Ghosts for SNES (or Ghosts and Goblins, I forget)

Games that are hard by default, without an easier mode, are almost always more trouble then they are worth. Milon's and Ninja Gaiden STILL piss me off, just thinking about them.