Ninja Gaiden was tough, as well as Devil May Cry 3.
Rainbow 6 Vegas was kinda tough on realistic, and I must be the only person with this problem, but I don't fare too well against the CPU on Madden unless I have an unbalanced team (All Madden, anyone?)
Bioshock was, well, perfect; but it was important that the game be completed by most people, since a main goal in that game was to tell a story.
I found Doom 3 to be on par in difficulty with original doom.
But, taken as a whole, most games seem far easier to finish than back in NES days. In fact, I finish nearly all of my games (if I enjoy them). During NES, though, it seemed that I finished very, very few--mostly due to difficulty. I think that it has to do mostly with the change in what people expect from games.