The only Rpg that I played and haven't finished is Ultima Underworld II, but due to a game killing bug right at the end of the game, not it's (average) difficulty.
There are some gaming moments that stand out for their difficulty:
Any one who survived Castle Darkmoor in Might and Magic 6 can be proud and stand tall among his fellow gamers.
The final battle against Belhifet in Icewind Dale took me almost a whole day to finally beat, I stopped counting my tries after about 30. He finally got paralyzed by a lowly Chromatic Orb that managed to get through his insane magic resistance! I don't know if it is easier with the expansion installed (it adds the Lower Resistance spell which would be a great help I think), I may have to try it someday..
I know that Might and Magic 9 does not live up to the high standard of the series, but I liked it well enough to see it through to the end. The Lich Lab was a very tough dungeon, and the optional dragon killing was nearly impossible even with the toughest party experience and money could buy.The beast has insane hit points and health regeneration (don't even try without the pain reflection spell and a few ressurection scrolls)
I remember having great difficulty in finding my way around in Anvil of Dawn, even with the Automap, due to the number of teleporters, twisters and illusionary walls in some of the dungeons. I was fairly inexperienced in that type of gameplay in those days though.
I don't know how many people played Siege of Avalon, but even with my ridiculously powerful character I couldn't defeat the final boss without using "cheese tactics" (shooting fireballs in the "fog of war" before you actually see him, bringing him a single hit before death without even actually doing batlle
)
Weapon degradation in the unpatched version of System Shock 2 was ridiculously unbalanced, your uber cool futuristic space marine shotguns couldn't shoot more than ten bullets without breaking down, it could make the game very difficult, and also felt unfair...fortunately the patch both tuned weapon degradation down, and gave the option to completely turn it off.
To close, I must mention an instance of almost disappointing easiness: Eye of the Beholder 1 is a fairly tough game, and the end boss, the Beholder, is supposed to be extraordinarily tough and nasty, and only be killed by tricking it into its own trap... but in truth, killing the beast in combat by constantly running around it and whacking away is time consuming but fairly easy, sort of anti-climactic if you do it that way...