Immortal Defense is a pretty tough game. I'm stuck on the level where you first have access to the Danmaku Point. Of course, if my computer wasn't acting up so that I could play the game right now, I'd probably already be through it, but...
The difficulty level of From the Abyss (an action RPG for the DS that's currently Japan-only) is annoying, because the first dungeon was tough, the second dungeon was easy until I fought the boss (which had an attack that made the battle reminiscent of danmaku games both in style and in difficulty), and the third dungeon is brutal in a way that leveling my character won't fix.
A lot of doujin games are really hard. Rosenkreuzstilette, Touhou, and eXceed are among them.