Far too many to list...
Monster Lair - Round 3 (click for the awesome music that perfectly fits the cavern spelunking/platforming/run-n-gunning mayhem. Note: several other stages in Monster Lair are just as divine, but you lazy pussyfooters may not have played them).
All the later stages in RC PRO AM (NES) - Heck yes. I like the challenge in RC PRO AM and it is very satisfying to make it to the later levels. You gotta play for a long time until you get there.
Last 2 stages in Rush-N-Attack (arcade) - This is one game I loved playing in the arcade. I didn't get to the last two stages nearly as often as I had to play the preceding stages, so it was a real treat to get to them. Stressful, but divine.
Last stage of Blazing Lazers - So much fun+double-bass-drum frenetic chiptune of GODLINESS. Folks here may be sick of me saying this, but even if you f*ck up and die, you can totally beat the entire last stage with pea-shooter (and grabbing anything that comes your way).
Last few levels, Wonderboy (SMS) - Let me share a secret with you: I play the entire game just to get to the last few levels. Not only are they ass-kicking (as in, they kick your ass), but I think SMS really shines with this port. It's just great.
I have to stop. I'll never end...