Hmm...
That would have to be beating every level in Celeste, including all the C-sides and Farewell. Easily the most difficult challenge in a game that I've ever overcome. Some honorable mentions include reaching Gogmazios in Monster hunter 4 Ultimate solo without getting help online, reaching X rank in Splatoon 2, and catching a shiny Beldum in Pokemon Platinum via radar chaining. But those were more just about persistence, none of them were as difficult as beating Celeste was.