Loco Roco....super hard.
Eternal Poison & SMT: Nocturne.
I dare anyone to say otherwise.
Actualy, just about any SMT game's damn hard. The Persona series alittle less, IMO, but...
LoZ: Majora's Mask.
Seriously though, I'd say going through Dead Air on Expert by yourself in Left4Dead. That was freakin' IMPOSSIBLE. x-x I've beaten the other three campaigns on my own, but I could barely get past the second area in Dead Air. xD