If I leave out broken games then the hardest game I've ever had a proper go at is probably Super Mario Bros 3. I'm not one of those gamers who thinks that a game has to be smash-your-head-against-the-wall-hard in order to be fun though.
*Edit* - Yeah, I've always thought of Legendary as hard enough to be challenging but not hard enough to get frustrating, which I think is the perfect place to be. There are a few parts in each game that get pretty damn hard, but on the whole Legendary is quite fun.