I highly recommend the 'Touhou' Games.

Preview
They're all great, freaking hard video games with likable characters.

If you're going to start with the 'official' games, start with Embodiment of Scarlet Devil it's great for getting to know some of the characters and letting you know just how hard these can get.

Touhoumon is a Touhou/pokemon rip that is much better then it sounds. Easy is Touhoumon Blue, Normal is Touhoumon15e1, and hard is Touhoumon Lunatic.

If you've ever played Diablo I then you have an idea of what Touhou Hack and Slash is like, very interesting.

And for Disgaea fans, you can't beat Labyrinth of Touhou. Huge dungeon crawler/level grinder based game. I've spent over 300 hours on this one.

I only told you some of my favorites, I ask that you go out and find more, post them as replies to this if you would. It would also be helpful if you included a link to them, all the games I mentioned can be gotten from here: http://vocaloidotaku.net/index.php?/topic/201-touhou-game-downloads/

Enjoy.

I was really hesitant on this series myself. After I tried Scarlet Devil, I was like "...what have I been missing?!?!?" Even though I'm still somewhat of a nub at it. xD