There are a few games I've played that I could only beat with save states or the rewind feature. First up is pretty self-explanatory: Ghosts N Goblins and its sequel Super Ghouls N Ghosts. Those games are really difficult and frustrating, yet some of the most addicting games I've played. I've always loved challenging games like Dark Souls and Bloodborne, but these 2 are absolutely cruel with the enemy placement, awkward platforming, and unforgiving level design. How anybody is able to beat these without emulation tools is beyond my skill level, but I definitely have to respect those who can beat them.
Second, Ninja Gaiden NES. I actually enjoy this game I played it way back in 2012 on a crappy NES phone emulator before switching to my WIN XP laptop. I didn't think the game was too hard but by stage 4 I thought it was almost impossible to beat the levels. I must have loaded my save state on that one jump in stage 4 like 15 times before I realized how to get over it.
Third, Conker's Bad Fur Day. This one seems a bit weird, but trust me, the second half of the game suffers a lot from unforgiving check points, and awkward controls that can screw you up. For instance, the D-Day chapter because of the constant flying bullets and explosions making you lose like 3 health instead of the usual 1. Then the dracula chapter has that the zombies attacking you in the beginning when you're getting used to the controls or the awkward flying segment that is so easy to screw up. Or how about the pre-historic chapter as you're surfing on lava which is also easy to screw up. It's a great game, but I don't think I would have ever finished it on original hardware.
Fourth, Shin Megami Tensei 1 and Kyuuyaku Megami Tensei. SMT 1 and Kyuuyaku love to hit you with high encounter rates and tons of enemies early game as you're getting used to the mechanics. Got to love that Shinjuku Mall and Ginza Mall are full of enemies that love hitting you with status ailments that either prevent your comp from being used, or how later on a mandatory boss fight hits you with death spells when you most likely don't have tetraja. I think Kyuuyaku isn't as cheap as SMT 1 given that it is a remake, but it keeps the brutal encounter rate. Thankfully by mid game they're not as hard and I only began using save states at the start of dungeons, but the first few hours can easily turn off newcomers. Not to mention SMT 1 is really easy to cheese with bullets and zio spells. Doesn't help that the save points are all spread out since you can't just save through the menu like in Final Fantasy.