I must say, the hardest games I've played in childhood days are still the tough one to finish, 2 games were the most difficult to finish "The prince of Persia 3d" which came in 2011 if I am not wrong, that was the 3rd part of the game as the first 2 parts were popular by the name of "Prince of Persia" and "Prince of Persia 2", those were the 2d versions and undoubtedly quite impressive to clear every stage and level in the given time, but the 3d version was the way too difficult and full of the challenge at every stage. Everyone should at once in a lifetime, another game I must is an IGI I think everyone knows about it. as it offers the most challenging atmosphere to play not only shooting but solving the puzzle to get to the next level is what you need to strive for.
I don't think I've ever managed to finish the original Prince of Persia game, despite having owned it on multiple platforms. Some of the later stages especially are pretty rock solid with their difficulty.
For a true gaming challenge, Super Meat Boy is supposed to be pretty up there with the toughest. I haven't tried it yet myself.