Teleglitch: Die More Edition was pretty hard. I've beaten it a few times now, but I still haven't beaten the final boss in under ten seconds.
FTL was tough at first, but it becomes easier once you've got all the events memorised. I have beaten it on Hard mode using the weakest ship outside of the Advanced Edition. (So probably not the hardest game I've ever played!)
Tales of Maj'Eyal is really damn hard. That learning curve just keeps going up and up and up. I've beaten it several times on Normal, and once on Nightmare using one of the strongest race/class combinations. No Insane or Madness wins yet and I doubt I'll ever get there.
Nuclear Throne is also really, really damn hard, but it sorta scales with how good you are at it - it just keeps getting harder the longer you play. Depending on how you define winning, I've either beaten it more times than I can count, or I've never beaten it. The furthest I've got was post-loop Labs.
I like my hard games =P