The Super Mario Games on the NES are greatest games ever made IMO. They never get old to me. I go back and replay them every few months and always have a good time. The only one I didn't get really into was the second one. That game is hard as hell , but fun nonetheless
its crazy how those Japs made those Nintendos...... here it is, 20 years later, and mine still works, and even after I've dropped the fucker a couple of times, boxed it up and put it on U-hauls at least 4 times, spilt soda on the thing, maybe even hit my brother upside his head with it, and it STILL works
While I haven't really played Megaman 4-6, the first 3 games are absolutely amazing. The music is really good, the level designs are top notch, and the game has a difficulty curve that will make you say "f%*$" more than a few times. Very quality games and highly recommended if you don't mind get more than a little frustrated.
Also of note are the Castlevania games and Ninja Gaiden, both of which are also quite difficult but very mermorable. Battletoads is also very difficult, but really fun and a very well designed game.
As far as mario games go, the lost levels are really fun and quite hard. I find the traps and tricks they use in this game to be very clever and very fun as well.