Great thread OP, and a couple of points on a couple of the games included in your list:
1. Resident Evil 0 - As a big fan of the series, I definitely agree that it's one of the harder games in the series, and arguably the hardest game in the "tank controlled, fixed camera" set of games. But having gotten the Platinum for the game a couple of weeks ago, I'd say that there's part of the game that has to "click" for you. Inventory is very limited which is a big issue, and certainly adds to the difficulty. But in Normal mode, there's plenty of ammo and you can kill most things comfortably. I think it's more getting used to the game than raw difficulty, but in the group of OG RE games, it's definitely up there.
4. Yoshi's Island: Yeah, I definitely agree with this. The thing is that sometimes beating the levels is not that hard. But getting 100% can, especially in the later levels, be brutally difficult. It's funny how misleading the "crayon"/children's aesthetic is. This is certainly one of the most difficult games I've ever played.
I don't have my list yet, but I agree with any list that has Super Ghouls n' Ghosts (or really, any of those games in general), any Ninja Gaiden, the NES Ninja Turtles game. I'm still thinking whether Mega Man games belong in those lists, but yea, I find the original Mega Man entries to be a bit challenging.
Although "challenging" is relative; for most games that I initially find "challenging," a combination of increasing skills, repetition, and "muscle memory" means the game becomes much less difficult than it was in its initial run. It happened to me with Super Mario Bros 2 (uhh... the Japanese version, I guess it's called "Lost Levels" in the US). A bit hard on the first playthrough, but then after playing levels several times, it became much easier.