Ok, I have really one hard game on PC and one on a console. The PC game is The Worlds Hardest Game, that game is hard and they have more then one. Now the hardest game for me on a Console was on PlayStation and the name was Harry Potter and the Sorceress Stone, now that was a challenge and a half. No checkpoint, No game Saves, just one long day of gaming and I think it froze at the very end of the game, so I count that as a win. Because the game could not handle me. Lodgic, for the win.
Long Live Bungie
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Probably Ninja Gaiden Black on Very Hard mode while trying to attain Master Ninja rank on each chapter. MDK2 was kind of tough, and Dante Must Die mode on Devil May Cry 3, or Hell and Hell on the DmC reboot can get pretty frustrating.