Sea Gate (?) in Sonic Heroes. Listening to Omachao explain rings...*shudders*.
In all seriousness, I'd have to say many of the levels from Sonic 2 Game Gear, especially the boss of...damn, I forgot the name of the zone, the one with Toot Toot Sonic Warrior as the music. You know, the one with enough rings and lives in the first two acts for fifteen lives, and a boss act that will kill all of them?
Master Extra in Super Monkey Ball 2 is another big challenge, especially the final one.
RPGs...Neo Exdeath is a jerk, as is Carry Armor and the second phase of the Dhoulmagus fight in DQ8.