I realize this is an old-school game thread, but I have to say that Contra: Shattered Soldier ranks right up there with some of the most difficult games I've ever played. After spending a few hours on it, I haven't beaten any one of the levels. Brutal 
I didn't think that Shattered Soldiers was
that hard but in order to play all of the levels in the game you have to get a certain rank average (for a lack of a better term for what it was called but it was a certain %age you had to meet) across most of the levels in order to get some of the later I guess you could say secret levels now
that was hard to do

I only ever opened up 2 of them IIRC and the one I only actually got to once after trying so many times.