Modern air combat simulators like Falcon 4.0 and DCS: Black Shark are a different kind of difficult; generally easier to fly thanks to computerized Flight Control Systems, but much more difficult to fight in due to the complicated weapons systems. Ramp starting the aircraft from a cold state in either sim also makes the aforementioned Steel Battalion's startup procedure look as easy as turning a key in comparison. They don't call them "study sims" for nothing-especially when they used to come with gigantic manuals, one of which (in Falcon 4.0 's case) was a binder that doubled as the game's packaging!
It gets worse for DCS. The developers were actually contracted to make a sim to train actual A-10 pilots into converting to the newer "C" variant, and were allowed to release a slightly modified commercial version. They've boasted that if you can learn to play their game, you can hijack *ahem* fly the actual A-10 Thunderbolt. (Similar boasts have been made for Falcon 4.0.)
Among racing sims, Grand Prix Legends and Richard Burns Rally in particular stand out for unforgivingly realistic driving physics. Trying to leadfoot your way around the whole track, as you would do in an arcade racing game, will only make you slide right off the turn and into the wall. Learning to manage the gas/throttle and brake in addition to the wheel is extremely critical to getting to the finish line intact with a decent time.
Armored Core: Last Raven. As the last game in the series made for the PS2, Last Raven was essentially made for players who had played and beaten all of the previous games. If you hadn't played the previous games, you couldn't import a file, meaning you were stuck with a crappy mech against enemy aces. Even if you had imported a file, the game was scaled to assume you had done so, and the fights are still extremely tough (especially in Jack-O's route which in brief is "fight a Raven every level, or two if Jack-O demands it"). The storyline has different branches and endings depending on what missions you take. However, there are no indicators of how hard a mission will be, and they vary heavily within story paths. Most notably, you start with two missions, one has Bolt, who will obliterate your pitiful starting mech in a heartbeat. The other is a standard intro mission.
Harmony Hills: 1,200 guests in 3 years without adjusting land, scenery or building over trees.
Micro Park: Get a park rating of $10,000 at the end of the 3rd year with a park 13x13 big. And you thought Dinky/Pokey Park was hard.
Mothball Mountain: 900 guests in 3 years with poor terrain, wet weather, land is rather expensive and your max loan is $15,000. T_T
Fiasco Forest. 800 guests in one year, and the danger factor is like Action Park on steroids.
LHX Attack Chopper turns this way, especially once you start going up the ranks. Doesn't help that your savegame gets deleted once you're killed.
Densha De Go! is a train simulator. If you are 15 seconds late, or 15 seconds early, or 5 metres out of place, or if you accelerate within the platform to avoid the aforementioned sins, or if you brake too hard so that passengers fall over... you lose lifepoints. I don't think even Japanese railways are really that strict. By comparison, British trains are considered on time if they are less than 5 minutes late - and being early is praised!
Cart Life is exceedingly brutal, due to the many, many factors you need to juggle in order to survive, as well as the fact that time passes extremely quickly in-game.
Otometeki Koi Kakumei Love Revo is a massively complicated Dating Sim that you almost certainly will fail miserably on your first playthrough at a minimum. Not only do you have to concentrate on losing weight while still having to eat snacks from time to time to stave off hunger, but you have to raise ten other stats too to catch the eye of the guys. Furthermore, even if you lose enough weight, raise your stats high enough, and go on enough dates with your chosen guy to raise his heart level to the maximum pink, you can still fail to get an ending with him if you didn't go on quite enough dates or picked a single wrong dialogue option with him. Oh, and picking all the right dialogue options isn't as easy as it might sound because while selecting the correct option typically gives you a 'ding!' sound, some wrong dialogue options give you the exact same ding sound, giving you no clear indication of where you screwed up.