Okay, replying to my own OP here:
SMB3:
I just played SMB3 for the first time recently and pretty much this whole world was a brutal trial. I loved it. I really love playing through Mario levels and the point at which they become obscenely difficult and I get to lose tons of lives making my way through levels is a true delight to me. It prolongs the game in a totally reasonable way and I just know when I will beat such a level it'll be extremely satisfying. Pretty much all of World 8 was like this to me. The levels are pretty bite-size so I feel comfortable calling this all one massive level.
Super Mario Galaxy: Dreadnought's Purple Coins
http://www.youtube.com/watch?v=cyE9Tl4qTNE
This is the level I remember having difficulty with more than pretty much any other Mario level ever. There are definitely more frustrating Mario levels, where it feels like you can't accomplish what you're trying to pull off. There was no such problem with this level, it was designed smoothly and controls great. It took me forever to get the hang of it, though. I kept my wife up until like 3 or 4 AM trying to beat this darn level. When I finally did it felt amazing. The gravity mechanics really require all of the knowledge and skill of the previous levels in the game, they really prepare you for the challenge excellently. Just a terrific, challenging level.
SMG2: Cosmic Clone Wall-Jumpers and Hot-Stepping Dash Pepper
CCWJ is a hilariously difficult, chaotic level. Multiple cosmic clones relentlessly pursue you and at the end you have to wall jump while carefully spin jumping in between wall jumps at the right moment. Just a great, clever level and really tough. I don't think HSDP is quite as tough, but I do think it's pretty hard, and it did take a ton of lives to complete and requires very precise movements with Dash Pepper Yoshi, and I found it to be an extremely fun level.
NSMBU: Run For It and Pendulum Castle
Not too much to say about these. The titles both say it all. Both levels, especially Run For It, had me burning through lives and heading back to Soda Jungle to get more. Just great challenges, which brings me to:
NSMBU: Challenge Mode
Best ever bonus mode in a Mario game, no question. I really hope they include this feature in future Mario games. I still have a lot of challenges to complete. I would like if you could jump back into each one just a tad more quickly when you lose a life, but that's a minor complaint about an amazing mode. Pictured above is a challenge I found particularly satisfying to complete. Racing under Flipruses, and sailing between a snowball and a Fliprus, are such good feelings.
NSLU: Fire Bar Sprint and Impossible Pendulums
Both of these levels are just awesomely difficult. You have to be expert in every move you make, especially in FBS. NSLU is DLC done right and is essentially a great full Mario game in its own right.
BTW, I have not played any of the super-tough levels in SMW or SMW2, nor The Perfect Run or Champion's Road. I do plan to play all of these, though.