I still think that levels like 8-3 are harder than D-4, but that's just me, personally. Of course, 8-2 is the hardest until you figure out how to clear it...
The one level that ALWAYS gives me major problems in SMB2J, and I honestly do not quite know why, is 4-4. I can get through the first 15 levels only dying a couple times, and then I get to 4-4 and I just can't clear it. I have more difficulty with 4-4 than D-4 normally! Another level(s) that is a bit annoying is 7-3/C-3, because you can't see mario for about half the level anyways.
As for other games... Well, I've usually had plenty of problems with Tetris Attack puzzle mode, level 6-4, second set. I have run through all 120 puzzles, and taken longer on 6-4, 2nd set than on all 119 other puzzles COMBINED. And the ONLY instance I have ever had to write to Nintendo Power for help on is level 9-5 of the Puzzle Mode of SNES Yoshi's Cookie. I think level 9 of puzzle mode is harder overall than level 10, personally... I mean, the only level in level 10 I had true difficulties with was 10-6.
And then there are the flying airships in world 8 of SMB3, you know, right after the hand traps. I mean, the screen scrolls almost as fast as Mario runs... the level is almost impossible to clear without a P-Wing, or at least without a raccoon tail. I also dislike:
5-4 (SMB1)
8-2 (SMB1 -- only that ridiculously long gap, about 60% the way through the level, though)
5-1 (SMB2)
Valley of Bowser 2 (SMW -- only that part with the sliding yellow wall)
Extra 5 (YI -- go on, try and clear this one with 100 without a Middle Ring. I'm pretty sure Fifth's done it, but I certainly can't.)
100 coin star for about half the SM64 levels
Banshee Boardwalk (MK64) -- Hey, I've lost this one by a lap and a half (That is, been 8th and was a lap and a half behind 7th) before immediately after winning the first two races of Special cup. I have the inability to stay on this track.
Skyscraper (MK64) You know, I don't think I've EVER won on this course before... I've won about 70-80% the games I've played on the other three courses, though...
3-1 (SML1): It is like playing through the same level 3 times in a row, and then you still have about 40% of the level to go. I mean, I've beaten this level without dying ONCE, and I've hauled through the level and beat it with about 40 seconds left on the timer. Ugh...
There may be more... not sure.
~I.S.~