Battletoads - anyone who says the difficulty is unfair is just too lazy to give it a real try I think. It's hard but at the same times gives you a lot of extra lives, continues, and warps.
Lost Levels - Only on NES. All Stars version is not the real version. All Stars version is easy.
Super Ghouls N Ghosts
Volgarr the Viking - anyone who likes Super Ghouls N Ghouls, get this on Steam. It's a current game made by people that appreciated the difficulty of Ghouls N Ghosts and it tries to give you a similar experience.
Contra 4 on hard - Tagline: "Think you're the master of 2D action? Not anymore, you're not." I beat it though.