Throne of Bloodstone, the module that has your party going to the layer of the Abyss where Orcus resides in order to steal his artifact wand.
And then there's the Dark Sun module "Valley of Dust and Fire" which details the city of Ur Draxa, home of the Dragon of Tyr. The whole Dark Sun-setting was intended to be the Nintendo Hard among the D&D-settings (though Planescape is more or less on par with it).
Labyrinth of Madness - not only are the monsters and traps extremely deadly, but to progress past certain points, you need to find magical glyphs, without which certain parts of the dungeon (mainly the entrances to new areas) don't even exist for you. There are twenty in all, and you're pretty much screwed if you miss even one. (To make matters worse, the original printing has a typo that makes one of them impossible to actually get, but honestly, most groups will give up before this actually becomes a problem.) In its comic book adaptation, the dwarven fighter was instakilled about 3 pages in, turned into a zombie and sent back to attack his friends.
"The Skinsaw Murders", a Pathfinder adventure path installment, is infamous for TPKs. Lots of ghouls, whose paralysis attack can be very cheap and very nasty, a haunted house full of unavoidable "Haunts", one of which forces you to jump out a window, possibly hitting the water some 50 ft below, or run outside into a flock of undead crows. And the final boss encounter... no. Just no.
Arkham Horror is extremely difficult. The randomly drawn opponent Eldritch AbominationBig Bad changes a number of rules, monsters, and often has instant-kill conditions should the game end in a final battle. Strategy and teamwork is mandatory, random events and blind luck will usually ruin your plans, and it's all a Race Against the Clock. Expansions for the game generally exist to make the game ever harder, such as adding The Dragon or The Corruption to the mix. In general, you don't expect to win a given game, completely appropriate to the setting.note This intense difficulty can be avoided by using custom characters. Even if they themselves are not unbalanced, putting them together, each designed for a certain task (i.e. one is made to close and explore gates, another is combat, another is movement, etc), makes the game from something incredibly difficult to relatively easy - even beating the end abominations becomes a fairly simple task.
Paranoia: Played for laughs. The players are agents of an insane supercomputer who hunt down mutants, commies, and conspiracies, when that applies to everyone in the complex, including the player characters. People are cloned in packs of six.
Betrayal at House on the Hill has many scenarios which are won or lost based on victory conditions. However, before the endgame begins, players have found items, gained and lost stats, and explored the house. End-games range from fair challenges to virtually impossible.
The Deadlands dime novel adventure Night Train is alternately referred to as PC Death Train. A locomotive carrying thirty nosferatu and a zombie conductor (and not one of those relatively easy to beat head shot zombies) will do that. Rumors that its writer John Goff gets a royalty every time running it ends in a Total Party Kill are officially denied, however.
Battlestar Galactica the board game is extremely hard for a traitor game. Often favoring the Cylon rather than the Humans. More often than not the Cylons win.
Unknown Armies opens its chapter on combat rules by advising you not to get into a fight. Do anything to de-escalate the situation. Because fighting in UA? Can be very lethal. The rules are percentage-based and it's easy to flail around without hitting anything if your skills are low. And if someone's skills are high? Damage is calculated by adding together the digits of the successful attack roll (for melee, so a roll of 55 deals 10 damage) or by just taking the attack roll as the damage score (for firearms, so a roll of 55 deals 55 damage). The average person has 50 hit points. You can survive a few good melee hits but just one gunshot could completely ruin you. On top of that, magic is useful but highly situational, averting Linear Warriors, Quadratic Wizards hard.
It is also a somewhat explicit assumption of the setting that the most powerful supernatural abilities typically are difficult to use, dangerous to use, sanity-blasting, grossly immoral or some combination of the above. Thus, your character has to choose between an overall disadvantage in power levels, or risking xe life, mind and soul frequently. And you WILL end up facing serious threats, because the Occult Underground is paranoid, greedy, insane and ill-tempered.
Torchbearer can be punishing, rolling successes is difficult and failing gives the GM carte blanche to introduce you to new problems or let you succeed with a negative condition (your character can be left Afraid, Injured or Dead among other things). Conditions are also earned every four turns of the game, meaning that careless adventurers are closer and closer to die as far as they go down the dungeon. On the other hand it is really difficult to actually die in this game, you have to take a series of bad decisions or have a long long streak of bad luck, but, as the book puts it: "In Torchbearer death is a mercy".
Dark Heresy, being based on Warhammer40000 has a long list of lethal effects of critical hits, such as "marrow flash-boiled, turning bones into frag grenades."
Eclipse Phase can be described as a cross between Call of Cthulhu, Paranoia, and Shadowrun. Player characters rarely survive missions. If they aren't eaten by a swarm of Nano Machines, decapitated by killer robots, eviscerated by mutant horrors, or enveloped by alien slime molds it's likely their benefactor will call in an orbital strike on their position in order to contain whatever X-risk they uncovered. But at least they'll buy your backup a new body (or more likely a used one).