F-Zero GX was already mentioned, so I'll add Advance Wars 2 on GBA.
The original AW is actually harder, but only because of stupid things like extreme AI cheating; AW2 is difficult because of the actual situations themselves.
If you love old-school gaming challenges, these games all bring it in spades. Myself - I love taking on these types of challenges in very well-done games such as these.
Devil May Cry 3 (PS2)
Viewtiful Joe (PS2, GC)
F-Zero GX (GC)
Super Monkey Ball (GC)
Ikaruga (GC)
Ninja Gaiden Black (XBox)
Now that I see Ikaruga listed, that reminded me of another game I have at home. Chaos Field Expanded. Jap only though, it is for GC as well as Dreamcast, but you weren't asking for these if im not mistaken.
I thought the original Dead to Rights on Xbox was very challenging and fun. Just make sure not to get the game on PS2 or GC as they gimped the challenge and give a wide berth to Dead to Rights 2, an atrocious sequel.
Now that I see Ikaruga listed, that reminded me of another game I have at home. Chaos Field Expanded. Jap only though, it is for GC as well as Dreamcast, but you weren't asking for these if im not mistaken.
Actually, I believe Chaos Field is coming to the states rather soon. However, you made the mistake of implying that the game is not, in fact, shit. With mistakes like that people may actually buy the game. Be a little more careful next time, mkay?