Mega Man: Dr. Wily's Revenge (Gameboy). Maybe its sequels are harder, never played them.
Actually it's sequel, Megaman 2 for the Gameboy is the easiest Megaman ever made. I actually found it at a used videogame store last Wednesday for only $7 and played it later that night. I started playing it at 12:45 and I beat it around 1:30. That's right, the game only took me 45 minutes to beat on my very FIRST time playing it. I'm guessing Capcom got so many complaints for the first one, that's why they made the sequel so easy you have to intentionally kill yourself just to lose.
Of course back to the question of hardest, I'd say MM1 for the NES. The stages are filled with very cheap traps and jumps, like most other games released during that time. Not to mention that enemies respawn just by moving an inch back to the left which makes certain sections that require you to jump, much more difficult then they should be.
And that was just the first 6 normal level. Once you hit Wily's Castle the game becomes hell in videogame form and coincidentally, you have to fight the (Yellow) Devil as well, with him easily living up to his name. And to top it off at the very end you have to fight Bombman, Fireman, Iceman and Gutsman all in a row with no energy pellots to restore part of your life in between like the later games give you Wily himself though isn't too bad at the end which is kind of surprising considering how hard the rest of the game was.