Not a final boss, but that level in Viewtiful Joe where you have to run through the all the bosses you have faced over again, but without all your energy levels built up is quite difficult. I was never able to beat that level, and I know there was more after that.
I loved Viewtiful Joe, but the difficulty was WAY too hard...that alone kept me from buying Viewtiful Joe 2, and I really wanted to try it out.
Metroid Prime 2s Series of Final Boss Battles is also quite difficult. I mean 3 different forms and then still another boss after that without a save feature...geez. That is yet another game I never beat.
Personally, I am one that a final boss should be challenging, but I would rather the hardest parts of the game be getting to the final boss, with the actual boss only being moderately hard, so most people can actually finish the game.