My favorite classic game of all time would be Rayman for PS1. At around 70+ levels, requiring you to capture all 6 cages for every level, including 6 bosses, mini-bosses, and very challenging obstacles including falling platforms, grappling through flying O's, and water/lava floods, I'd say it's a pretty hard but badass game.
I never beat it (not legitimately, used cheats to play the final levels) and I've played it since I was 3 rofl