Super Ghouls and Ghosts might be the hardest one I beat.
Together with Prinny 1.
With save states, I beat Haunted Castle (stage 4 without cheats), Battletoads (I got to the final boss using warps but not cheats, but never defeated Dark Queen "legally").
I keep separate lists from the games I beat without cheats and with cheats, and usually, save states are from when I really like the game but there was no way of beating a particular part (sometimes I don't have enough skills).
I beat individually each of 4 Dragon's Lair stages and the final boss, but never did it in one continue from scratch.
And I still could't get through the arena stage in Circle of the Moon.
But I did beat Rebirth in hard classic mode, and I'm close to finish The Lecarde Chronicles, so maybe those are the hardest games I finished, together with Castlevania 3.