I'd say Adventure of Link. I remember being so frustrated at the game I didn't play it for years. But a year or 2 ago I picked it up again and found that not only is it hard... but incredibly fun at times. It's a nice challenge and I only had to cheat a few times... even after I beat it. I couldn't for the life of me remember how to get the bridge down and find some of the items for quests.
But still. It's a fun game.
Of course I never got that far in Zelda I. I just didn't know where to go so I spent most of the time just wandering around. I did complete one dungeon though and I found a couple more but I couldn't get far in them.
I could never beat
Alttp without save states though. But that is only really on Ganon. I remember playing it on the SNES and getting up to the last dungeon and I couldn't beat it. Rest of the game is pretty easy though. Though that Moth boss was always a pain in the ass.
But yeah. From the ones I really played. Zelda 2 is probably the hardest, but also one of the more rewarding to beat. Of course I never could beat Shadow Link without the sit in the corner trick.