The NES hands down has some crazy hard games. Contra frequently appears as one of the hardest, as does Battletoads, the first Castlevania game (with many reviewers failing to acknowledge that it has a hard mode), the first Teenage Mutant Ninja Turtles game, Kid Icarus, Smash TV, Legend of Zelda, Ghost 'n Goblins, and some others. Punch-Out is also a pretty hard and also really fun game, a boxing game where every match is pretty a boss fight with having to learn enemy attack patterns and discover the best methods of attack. Some people say Mega Man is pretty hard, but I've always thought it was pretty easy.
And with newer gaming, I'd say pretty much starting around the PS1/N64 generation, the "art of the jump" became a thing of the past. With those older games, it just wasn't about figuring out how to defeat enemies while dodging their attacks, but frequently you had to figure out some tricky jumps that would eat through your lives and continues pretty quickly until you figured them out.