I AM SURPRISED...that no one has yet mentioned Mount and Blade Warband. That is a game where even medium difficulty (everything set to moderate values) is pretty difficult. You have to charge the enemy but be careful to raise your shield to defend from archers and spear-throwers while slashing around as all out carnage takes place around you. One stray blade that strikes you will take off almost half your health and it takes a while to heal yourself in in-game time.
Megaman Zero series. The regular enemies themselves aren't that tough but, at least in 1 and 2, you basically have to memorize their placement in stages to clear them. The bosses are tough though, even once you have their patterns memorized the timing required is pretty unforgiving. I remember 3 and 4 being a lot easier but they definitely weren't cakewalks.
This, I remember the Zero games being quite hard when they first came out. I played them so much they're nothing now, though.
Seriously, this. You have to play (very) smart, or you're dead. Playing smart already ? you're dead anyway.
Gotta disagree here. I like the game, and it is definitely challenging, but you don't need to play "smart." There's no deep strategy or intelligence to the game. Success comes from quick reflexes and a few lucky powerup rolls.
The fact that CobaltStreak and some other people can go hundreds of wins in a row is how you know that playing smart counts. He literally went 500-0 on a fresh file. You don't get that from "lucky powerup rolls."