The hardest game I could remember playing was this one game for Nintendo, I believe it was called "The LastStarfighter", I think it was based after the movie. I very young when I played this game (maybe 6 or 7) just remember one hit, and I was dead. I couldn't get past the 1st level.
Another game that sticks out in my mind is the Teenage Mutant Ninja Turtles on the Original Gameboy. Damn that game was hard. You had 4 lives (each turtle) until you beat the game, no extra continues. Once a character is dead, hes gone forever, and he wouldn't be healed when you played with that character again in a different level.