[Kumubou]

This list runs more recent but that's because [censored] really skews when you were younger...

Super Monkeyball -- So you finish Expert without losing all of your lives. Here have ten more levels with the number of lives you have left! Then you finish those ten levels without losing all of your lives... have another ten really freakin hard levels. (Thankfully, at that point you have infinite lives). Master 3 still randomly pops up in my nightmares.

Project Gotham Racing 2 -- This game on Expert is obnoxious. Really tight racing times (and overly aggro AI opponents) and you have to show mastery with ~20 different cars to finish this game at that level. If you aren't good at racing games you have no shot at doing this.

Blastcorps -- Another game with insane requirements to finish with the highest rank. (For you Europeans, they loosened up all of the timed stages by quite a bit; apparently they realized the US version was absurdly difficult in places).

Ninja Gaiden Black -- The game on normal is hard the first time through but doable. On hard, it starts getting annoying (especially with the new enemies and bosses) but at least you have new tools to fight that (somewhat). It really got frustration for me at very hard though, and once I beat it I was too sick of the game to even attempt it on master.

You know what's sad? I'm having a hard time thinking of many games nowadays that make me go "damn that person is pro for finishing that". Even the sequels to the games I mentioned (like Monkeyball 2 and PGR3) toned down the difficulty. :\