Not in the arcade... but there is a Really insanly hard game for Sega Genesis.
(and it Should have been in the arcades)
"Target Earth"
I remember spending like an hour or two trying to beat the 1st level. After I
realized certain tricks, and how the game worked... I was able to get deeper in
the game... but after using the cheat code to see how far that game goes... It
appears that its nearly impossible to beat without cheating.
Its also incredibly original and quite awesome. In some stages, your friends will
actually help you fight, and their bullets actually kill the enemies. I wont give away
the other kickers though. Ill just say that even with the invincibility cheat, you can
lose the game.
Watch the full game intro to get an idea of the kind of Epic Win this game exudes:
[youtube]http://www.youtube.com/watch?v=zpUyZ9DnXFg[/youtube]
(sadly, this vids intro was cut short a few seconds. Kinda spoils the music / feeling)