I played a ton of different RPGs throughout my life and those that I kept in mind as very hard were:
Final Fantasy II - starting out quite cool, but ends up being brutal when it comes to enemy-strengh balance and random encounter frequence
Ys, vanished omens for SMS - you actually reach max lvl before entering the last dungeon, wich you spend more than half of the whole gametime in, and even with best equipment, enemies in the last areas strip you of half your HP with a single blow.
Different Wizardry titles - the fact, that some chars can't be revived in some cases, meaning to lose them for good - cruel!! And also the all-in-all difficulty is what hooked me into that games.
Phantasy Star II for SMD - I'm actually playing this game by now, and I tell you this: I'm really ... I mean REALLY good at grinding my chars to max ... nevertheless, even after leveling up for dozens of hours, the last dungeons and enemies in there are so hard, that there's always the possibility to not come out alive ... I rarely found strategic-RPGs where you never reach that certain point of being god-mode through grinding, but this particular game seems to be one of that kind.
(I also remember Phantasy Star III starting off quite the same, meaning, leaving first town and walking just a few steps to far ends up in being anihilated by the first foes you encounter)
I guess there are many more games of that type, and after beating dozens of strategic JRPG's easily due to my resilience in leveling, I actually prefer those games with a mean difficulty for the challenge they offer to a vet like me