Yes, but not always. =D

IVAN, a roguelike.
Don't ever expect to win. In fact, expect to be torn limb from limb in the most hilarious fashion. Oh look, you got a good weapon! Hooray for you! I'm just gonna make these deadly enemies 50x stronger, doo doo dee doo...

Easy:
Farcry and I Want to Be The Guy.

Did you use a Halo approach to the game? If so, you need to use a Splinter Cell/Rainbow 6 approach,

I'd have to say Fester's Quest was the one that drove me insane. No save, no actual continues, I only ever found up to a max of 4 hit points, 1 life, and since I had no auto fire controller my thumb would constantly have seizers from trying to shoot fast enough. Ha, well not that far, but an auto fire would've been helpful. I'd always get to the last boss and die, then of course have to start from the beginning yet again.

Oh yes, and I'd also like to nominate Operation Flashpoint to the discussion due to ONE mission alone: The SERE mission.
Your entire squad dead, all you have is a pair of binocs, an M16A2, some grenades, and your map. Now you have to evade an entire platoon of Russian separatist soldiers and Russian armor. You can't just run through the forest to get to your point, since there are open fields with patrolling soldiers ahead.
To top it off? You get ONE save. ONE.
Choose wisely.

Haha, just found this thread and thought Ninja Gaiden will be here somewhere - it's in every "hardest game EVAR" thread I've ever read.
Of course there's a reason for that - it IS the most difficult, challangeing, rewarding and gloriously brilliant 3D/Action/Adventure/Fighting game of all time. And I say that despite being mainly a PC gamer :-)

I totally forgot about that one. I think i played it on the sega 8bit years ago.
I loved the powerups so the green swirrely things where about half the screensizes.
I also never beat the endboss so don't know how the game ends.

Maybe not the hardest, but certainly the most infuriating games of recent times would have to be 'Call of Duty 3, 4 & 5' on veteran difficulty.
With the imminent (UK) release of Super Star Wars on the Wii VC I may change my mind...
I also remember Midwinter being a pretty tough cookie to crack, but the crowning turd in the waterpipe has to go to 'Imhotep' from Ultimate 'Play the Game' released on C64.

Yeah, Ninja Gaiden on the XBox was pretty ridiculous.
I gotta say from all the games I've played, the Metal Slug series (any of 'em) were pretty damn hard... Mind you, as frustrating as they were, it's still one of my all time favourite franchises.

I think there is a mod that fixes that. Now that I mention it....I should get it while Atlantica Online is patching.

Yes, Metal Slug is an arcade port at its best. In fact, besides pool and air hockey, that's all I play at our local arcade. Ah, memories.

The one that made me the most mad was the original Stuntman game for the PS2. For the unfamiliar, the game had you being a (gasp) Stuntman in action movies, so it was a racing game, where you had checkpoints to cross within certain time limits. It seems easy enough, and the first level or two might have been, but there were parts that simply hated you. For example, you have to go under a silo as it's falling. The first few times, the timer got to zero either as I was under it, or just before. Of course, you have to go all the way back to lord knows where, and do it all again. Well, there were times when I had 30 seconds to go and that stupid thing still dropped on me! (yes I used the boost like the game tells you) to this day, I still hate that thing.

For me, the most difficult game I've ever played would have to be Battlecruiser Millenium.
This is, imo, the most sadistically complex game ever designed. You practically have to be an MIT grad just to understand how to play it; never mind get through it! I've been playing this thing over at Gametap for about a month now, and I still don't know what the hell I'm doing. The manual for the game isn't much help either as it's way too skimpy (in reality, if the manual were to cover everything, the pdf would easily be over a thousand pages long).
Complexity for the sake of complexity. Insane!

NG (XB) was hard but it wasn't as bad as everyone says. I think Otogi and Kingdom Under Fire were both significantly more difficult XBox games and that Shinobi and the DMC games were tougher ps2 games. Never even came close to beating KuF (except the first campaign). Great game, though.
NG3 for NES was truly, ungodly hard. The version I remember playing (NA), I later found out, was actually unintentionally uber-difficult (they messed up something in translation so damage hits for more than the JPN version) . They corrected it when they released trilogy.