THIS ONE. SO MUCH.
...I've actually only played it for a little bit so far, but it's hard just figuring out where to go, not to mention all the traps everywhere.
Another game I think is worth mentioning for me is Super Meat Boy. It starts off pretty easy, but things get really difficult towards the later levels. I've almost finished the Dark World Cotton Alley (2 levels left), but DW Rapture is actually harder overall imo. Some of the levels in both are just impossible though...
Besides that, I'll mention some mostly unknown indie games that are actually quite difficult. Super Hexagon is probably the better-known game of the two, but it gets crazy hard on the more difficult levels. Just watch some of the people playing on the hardest difficulty - it's nuts. The other indie title is a little gem called "The Sun and the Moon." It's a neat platformer that utilizes physics in an interesting way, combined with the ability to fall through solid objects. I'd highly encourage looking into it, as it's really fun, but it requires very strict timing to complete the later levels.
As for the people who mention the Souls games, I love those games to death, but they honestly aren't that hard after you've played it for a little bit (At least not in my opinion. Then again, I really dig hard games so maybe I'm a poor judge). If it's your first Souls game, you'll be caught off guard for a while, but eventually you get used to the system and things become a breeze. I started on Dark Souls 2, and when I decided to play through Dark Souls 1 after beating it 4 times, I made my way to Anor Londo in just 2 days, which I think is proof enough that learning the way the game works will carry you through most areas with ease.