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.