Hardest Mario game?

Super Mario Bros. : The Lost Levels.
 
Super Mario Bros.: The Lost Levels and New Super Mario Bros. U's challenges. I at least managed to 100% The Lost Levels, although it was the All-Stars version and I had to go back and do the infinite lives trick lots of times. But I could never get a gold medal on two of NSMBU's challenges (Don't Touch Anything and Cashless Castle Crawl).

Mario Superstar Baseball is also pretty difficult if you want to beat all of the star missions and make every character a superstar. The worst mission is Baby Mario's "Catch a booted ball!" mission. It's not that it's difficult, it's just very unlikely for Baby Mario to fail to catch the ball and then catch it before it lands. Thankfully, I did manage to turn everyone into a superstar and I'm glad that I don't have to do those missions ever again.
 
Out of the ones I played, completing them isn't very difficult, but several stand out to me.

Mario Strikers Charged is very difficult. It starts off easy in the Fire Cup but things quickly spiral out of control fast in Crystal Cup and get tough-as-nails difficult in Striker Cup. CPU is hyper aggressive in that game and will stop at nothing to keep shooting the ball at the goal. My twin has completed it but not before a long practice session and abusing tricks and whatever to get into the goal.

I have zero interest into sitting through the Lost Levels unless you pay me.

100% Yoshi's Island is a pain in the ass and something I don't enjoy doing. Yoshi's Island DS is even worse thanks to the lack of items.

Dr. Mario World actually gets fairly tough at points, especially when earning those three stars. The challenge missions don't screw around that's for sure.

Triple-Starring Mario Kart Super Circuit is a pain in the ass and the hidden variables suck.
 
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