I would have to agree Shadow of the Beast 1 was pretty dam tuff. I did eventually manage to complete it, however, but that was with the help of a whole bunch of info on where to go and what to do. SOTB2 was tuff too, but I finished it with the "ten pints" cheatmode on (only).
Rick Dangerous 2 was kinda tuff for a while.
I do recall Project X being a difficult one. It just had a hard edge.