I'll throw out one from each of the more mainline entries, obviously not all difficult stages are created equal and some may be embellished by my memories.
SMB: 8-3, The stage where hammer bros learn they don't have to bro it up all the time and face you one on one without you getting the aid of platforms for them to jump around on, years since I last played it but thinking about those erratic hammer antics gives me the shivers.
SMB2 (USA): 7-2 I guess? it's the last stage of the game and more of a gauntlet than any other offering some alternative routes, it's not particularly tricky but hey the end of stage eagle thing tries to kill you which is worth something and Wart is a bit more potent than your standard Mario final boss.
Haven't played Lost Levels for many years now so I'll skip it.
SMB3: Off the top of my head the second fort in the Pipe World was quite a step up from the stages around it, thwomps, boos and lots of fireball spewing piranha plants which is kind of hinting towards bringing a hammer bro suit, even then you've got some platforming between pipes to contend with and lots of lava.
SMW: Tubular is an irritating stage, one hit is all it takes to end you and you have to avoid the SMW equivalent of bullet hell (that being the spewing of Volcano lotus plants and baseball lobbing Chargin' Chucks) with the P balloon powerup that has control and speed that leave a lot to be desired, on top of this you need to keep your balloon power topped up essentially putting you on a short timer, worst thing about Tubular? it's not even fun, at least Outrageous and the ice one have something more enjoyable going for them.
Yoshi's Island: Endless World of Yoshis/Crazy Maze Days
Yoshi's Island is never really that difficult at all unless it's throwing 1 hit KO stuff at you like say brambles, good news then because this stage makes you plummet down a bramble scattered chute with the flutter jump as your one aid in preventing a brambled backside, oh and you have to do it multiple times due the stages maze layout that will lead to looping back round to this point, moreso if you go for 100 points and i'm pretty sure it's the hardest stage to get 100 points in.
Super Mario 64: Wing Mario Over the Rainbow
Well it's either this of the tedium of getting 100 coins in Dire Dire Docks or Rainbow Ride, anyway this is one of the "secret" courses which isn't all that secret. Collect 8 red coins scattered across various clouds using the winged cap and cannons, the downside? well you're flying over an abyss for one thing and you start losing altitude with the wing cap pretty quick, if you aren't able to make it back to some sort of land or run out of cap time you're gonna fall to your death....except it's actually worse than death, you fall into the moat outside the castle meaning to retry you have to run all the way back up, truly barbaric.
Super Mario Sunshine: A selection of 8 red coin tasks that are as bad as each other, be it the glitchy pachinko machine,using the lilypad across the poisonous water or "i'm a chuckster" SMS manages to give host to a selection of tasks difficult for the wrong reasons and some of the only stuff listed here that just actually sucks.
Super Mario Galaxy: Dreadnoughts purple coins
Fight against controls and camera trying to nab every coin in a cannon filled forced scrolling kerfuffle, runner ups to some of the daredevils runs mainly the lava spire or bouldergeist off the top of my head.
Super Mario Galaxy 2: The Perfect Run
An expected but very true answer, not one bit of damage is allowed through this gauntlet of tricky tasks which for that reason alone makes it the toughest of the 3D Mario tasks even if the stage itself isn't quite as platforming intensive as the following two.
3D Land: S Crown
Well it's not like anything else in this entry was particularly tough, can't say I like this stage either, who thought putting a miniboss in a stage like this was a good idea? makes every retry more tedious than it needs to be.
3D World: Champion's Road
You might just be seeing a trend with these last three choices, the beat/beep block section will humble all who enter, I'd say it's the most enjoyable of these last three stages.
Bonus
Super Mario Land 2: Wario's castle, oh so that's why there's an easy mode option, the king of Mario difficulty spikes right here and the slippery controls don't help for some of the later bits, long stage as well.
New Super Mario Bros Wii: 9-7, aka the one where the floor is made of ice and everything trying to kill you spits fire that can melt the ice blocks, that one fire bro and the third star coin create the trickiest to obtain star coin in the game.
I briefly tried to think of anything for the handheld NSMB games and just felt like having a chuckle instead, then I recalled NSMB2 having some ball breaking DLC so lets not forget that.
New Super Mario Bros U: Challenge Mode, I'm not even sure what the worst one is, just know that there are plenty. I'll take 645's word for it and go with "don't touch anything", it's like every coin has become a death dealing spike and some of their placements are just too much for me to even look at without feeling uneasy.
New super Luigi U: Fire Bar Sprint, requires a very specific timing to actually get through perfectly which you'll need to in order get the last star coin that deflated my glory on my first completion of the stage as you need to at least be normal sized to break the blocks trapping it.
