I'll have to chime in and suggest La Mulana, a sprawling sidescrolling adventure, which can be both brutally difficult, yet immensely satisfying. Tons of puzzles and traps abound, along with all sorts of goodies. I'd be seriously surprised if anyone actually made it completely through the game without resorting to some sort of guide at least once.
It's rather difficult at the start, but it gets a bit easier when you get some health upgrades and the Grail so you can teleport out in a sticky situation, and teleport back, once you've read certain tablets. (thankfully found in the first 'zone' of the ruins, if you can find it - do so, asap)
The graphics were done completely retro, in the style of an MSX game. And one of your most important items, is your handy MSX computer. Now, with your trusty whip, journey into the ruins of La Mulana.
Screenshots, game, and translation patch available here: http://agtp.romhack.net/project.php?id=lamulana
Give it a shot - oh, and it's a good idea to read the manual before you play. It helps. There's also a clue for one of the puzzles on one of the last pages, although you'd not know it when you originally read the manual.
Oh, and unless you have a *really* good memory or don't mind backtracking looking for clues you forgot, taking notes can be helpful. Although, sometimes you'll solve a certain puzzle, and you might not need a certain clue because of it. Getting the horn from outside the ruins will let you know when you've solved a puzzle as well - more helpful than you might think, since a puzzle on one screen might change something multiple screens away.
And, starting advice - first things first, get money to get the Game Master cartridge, to be able to save your game at the village elder, and a hand scanner. Break pots on the surface to find some money, but the money in those pots doesn't respawn - and it'll take too long to get money from the enemies - it's best to head into the ruins once you've gotten all the money available on the surface. Money and items in pots inside the ruins will respawn when you load your saved game, and each pot always has the same thing in it, be it money, weights, or weapon ammo. The Glyph Reader is important to get as well.
And a heads up - there's two puzzles in particular that won't reset when you leave the room, both for whip upgrades. If you mess it up, you'll never be able to get those weapons. One is in the lava caverns area, the room on the far left of the map. The other is in the room with the giant set of scales. When you come across that room, you may want to teleport back and save first, before attempting it, as the room closes off after you enter the room. As far as I know of, there's no way to reset either of these two rooms, and the stronger whips are handy to have. Speaking of handy - remember that the whip strikes above you when you swing it as well.
Ok, Ok, I'll shut up now - the exploration and discovery is half the fun.