Well.. Bayou Billy.. yes.. and many others...
Most Difficult "AWESOME" game ever:
Independence War and I-War2....
Man... I love those games, but either I suck or they are freaking hard...
Had to cheat to beat both which made me feel like crap.

Can someone please ban this user? Every post of theirs is just a spam for that worthless gamestreamer site.

Ghost Recon Advanced Warfighter. Definitely. I looked for cheats to get through it, and I couldn't get them to work. My xfire stats showed it took me 65 hours to beat this 40 hour game. The fact you couldn't save anywhere only poured salt on the wound.

You Probably Won't Make It - Download
I guess that nobody will ever complete this game :)
PS: Actually it is impossible to get trough level 18, but never hurts to try...

I Wanna Be The Guy isn't really hard, it just requires a lot of memorization and trial-and-error. I made it to the final boss, and I'm nowhere near a top skill gamer. I'd say NES games like Battletoads or Contra are harder than IWBTG, if anything because they don't give you any save points or password. With IWBTG, when you die you only lose a couple minutes of progress, and after a few tries you'll probably make it to the next save point.

KGB - I only got as far as the train. The difficulty level for an adventure game is insane, but I guess it is realistic if you consider the content.
Pitfighter - Unbeatable IMO. And the people that can beat it spent wayyyyy too many quarters on a broken game.

Global Thermonuclear War.

You nailed my whole list right there.

KGB was a fun game but extremely disappointing the end of the game explained nothing. Also it lost its sanity and went Japanese Batshit crazy near the end with the ESP Center and the Robotic Gorbachev.

The game I had the most difficulty beating was X-Wing and its expansions. Without using any cheats and being unable to change difficulty levels. It took me an awfully long time...now I just look at that box and smile.

Like a lot of people here, I Wanna Be the Guy is damn hard. I didn't mind it so much though, in that it was (in its own way) fair. It was hard by design, rather than by being broken or something.
One game that made me just tear my hair out was Zelda 2 on the NES. Thank gods they abandoned the sidescrolling element from Zelda.

The hardest game I ever played was Tetris. I've never been able to get past lvl 9.

OMG Haunted Castle was ridiculous. I looooove Castlevania. I violently hate that game. Obscenely hard.

It's worse than hard.
It's literally impossible to beat the game.
You have ONE life, you die in two hits, and the game is hard enough as it is.

Obviously the answer is this one: http://www.youtube.com/watch?v=in6RZzdGki8