Well, we did the HuCards. Might as well do the CDs too. Here are my choices, not in any particular order:
Rayxanber II - Stages 4 and 6 will pound on even the most skilled shooter players.
Super Raiden - It's very long, and it's tough to maintain a perfect level of play during the later levels.
Astralius - Terribly slow characters plus lots of extremely strong enemies plus gigantic dungeons equals a very, very painful experience.
Might & Magic III - Vast, with lots of tasks to undertake and variables to keep in mind, and some brutal enemies deep within the dungeons.
Puyo Puyo CD - One-player mode is surprisingly tough, especially from the elephant guy on; Tsuu is pretty tough as well.
Shape Shifter - But practice makes perfect!
Nexzr - Not a tough title to one-credit once you've got it down, but your first few tries in a given stage or at a given boss/mini-boss will require some memorization and perseverance.
Legend of Xanadu - The language barrier plays a role here, with billions of fetch quests to go on, but even the later side-scrolling scenes can be tough, and the legendarily large final tower will drive the meek insane.
L-Dis - Lots and lots of bosses to contend with; mastering the weaponry is essential.
F1 Circus Special - Like my mention of Genpei Toumaden in the HuCards thread, this is another choice of a crap challenge game that borders on being unplayable; I hear that the chip ones are better, but I'm in no rush to verify that.