I'm currently trying to beat all the "super hard" games on the NES, going in more or less random order.
I beat Ninja Gaiden, which was super annoying because of how hard that final area is, but the infinite continues got me through it (and I WAS playing the final level nearly flawlessly by the end).
Pretty much the same with Ghosts n' Goblins, it's really hard to go through due to that final level (since, if you die, you have to wait for a ghost to drop a knife since the "unicorn" enemy is immune to the shield/cross and the dragon is immune to the lance, and you NEED the shield/cross to fight the final boss), and having to play through the game twice is just madness... but I got through it due to the infinite continues. Lame ending FTW!
I also beat the first Castlevania, which was actually a lot easier than I was expecting, other than the fight against Death and the second form of Dracula (which ended up being really easy when I realized I had to hit his head... DUH). Infinite continues once again got me through this one.
Those are probably the hardest I've beaten as of now (I've completed Mega Man 2 and 3 as well, though I don't consider them THAT hard). Currently working on finishing Battletoads, which is INSANE (my last run got me to the final room of level 6 before I lost my last continue)... It's really fun, but damn is it kicking my ass. Since it's so hard, I'm thinking of going for some slightly easier hard games like Castlevania 3 and the Contra series for the moment, and giving Battletoads another try once I'm done with those.