Solomon's Key for the NES pissed me off so much as a kid  I should retry it...
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I had Solomon's Key for the Game Boy. Not sure how much it differed. I was a wee lad back then, but there were just some level I could NOT fucking figure out. FUN game, though. I could probably get through it all nowadays, but those bonus levels were tricky.
Add Contra 4 onto the heap. Anybody here who's played this yet will agree with me. Hours of playing, and I've only been able to get to level 7 of 9. By level 7, they throw EVERY fucking enemy in the book at you, and it's just madness. And I refuse to use the Konami code until I've beaten it fair and square.
Gradius (or any of it's incarnations) is another game I have never beaten. Play and play as I might, but I never could finish it.
Additional Spam:
I played Ikaruga on my Dreamcast, and I don't remember having such a problem on Normal. But I honestly don't remember if I got unlimited continues or not. Still, though, I only had a tough time when I set it to hard mode.
My dad, though, who couldn't comprehend anything with more than two buttons, certainly got plastered in that game.
Jam it back in, in the dark.