Hard to say, but here's a few:
Project Gotham Racing (the first one) - Still haven't finished the game, yet I managed to get at least all silver medals in the main mode of PGR2.
F-Zero GX - Some of those challenge stages are just brutal! And the later difficulty levels for championship races are tough too.
Super Monkey Ball and SMB 2 - The first one had some really frustrating stages that had me swearing up a storm, and the second one took me and my brother to figure out. But oddly enough, I find that SMB 2 is a little easier than the first SMB (although some stages are a real bitch, like Entangled Path). Both games are still pretty tough if you're not used to games of this type.
Ikaruga - It may be short, but it took quite some time for me to reach the end of the game. Some stages is just bullet hell. And "easy" is not easy. It's harder than most other games.
4 Wheel Thunder - This was a Dreamcast game that was supposed to be a part of the "Thunder" line of games (yet it doesn't really fit in too well). This game is hard as hell to win. Not because of difficult controls, just because the AI is really tough, and you pretty much need to pick up every boost to win.
R-Type Delta - Never beat the game, even on the easiest setting. The boss on the 6th stage was WAY too difficult.
Super Mario Kart - The 150cc Cup is still pretty damn tough to this day. The 50 and 100cc cups are easier, but 150cc was a bitch.
Rally Fusion - The controls are harder than the typical rally racer, and some challenges are pretty tough.
Freekstyle - I've had the game for close to two years, and I still haven't been able to unlock the two other stunt courses and two circuit courses. This game has an incredibly hard AI, and having to race the same course three times in a row to win is ridiculous.