I am going mention games that are challenging, but not the "hardest":
I consider Raiden a challenging game. Why? Well, beating the damn game takes a major commitment (for me, anyway). It is NOT the "hardest" by any means (I think you can actually get pretty far spamming bombs and re-spawning like a noob)...but actually 1CC'ing the game, that's not something that you do in an afternoon. Plus, there are some enemies that whip around faster than your ship halfway through the game that you have to react to immediately, this keeps you on your toes (since enemies prior to this were quite predictable).
L•Dis is another game that was actually challenging to beat, for me. Perhaps it is because it's cute-me-up dressing = makes you think "cakewalk" and then you realize that you are not even. Close to mastering the game.
A game that I genuinely would put in the "hardest" category would be Tatsujin...I have always had a rough time with that game. Familiarity doesn't make it easier for me. I have beaten the Genesis version.
If it makes you feel better, it took me a long time to beat R-Type. I don't use FAQs or hints or guides or videos and it was trial and error for R-Type (slow progress, but steady).