I'd suggest the Mega Man series, it's incredibly challenging and really fun.
I know you can download some of the classic Mega Man games and maybe one or two from the X series on the Wii's virtual console. And you can get Mega Man 9 and 10 on Wii Ware and PSN.
Also There are the Mega Man Classic and X Collections for the GameCube, XBox, and PS2.
Mega Man X 7 and 8 were made for the PS2 and aren't available in the Mega Man X collection.
Mega Man 8 came out on the PS2 along with Mega Man X 4, 5, and 6.
You can get the Mega Man Zero Collection on the DS.
Mega Man Powered Up for the PSP.
And the 6 original Mega Man games on the NES.
There are a few other Mega Man games out there but the Classic series, X series, and Zero series are the ones with the most "challenge" to them, I think.