I didn't play any of the Wii U ones, but completed all the others.
All but one.
Super Mario Bros. 2 (Lost Levels) is one of the hardest games I've ever played, I reached the last castle, but I couldn't finish it. The last world is crazy difficult, with constant need of perfect timed jumps, hidden exits and tricks everywhere.
I can't think any other Mario game even coming close, I gotta admit that the Crown level from 3D Land wasn't easy, but I've managed to complete it twice in a row once I've got a grip on it.
SMB2 is just hellish, and even if you beat the last castle (without secret pipes), you get a few secret worlds to complete...