UNITED KINGDOM
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Shadow of the Beast (Mega Drive) - Lower difficulty and better graphics compared to EU and NA versions, but still hard due to no continues.
Theme Hospital (PS1) - Despite being a simulation game, has a set of 'levels' with various 'clear' conditions.
Theme Park (SNES) - As above.
Magic Carpet (PS1)
Croc: Legend of the Gobos (PS1) - Cute platformer with frustrating controls and difficulty, but excellent music.
Putty Moon (SNES) - aka. "Super Putty", should remind Arino of the previously-challenged game 'Smart Ball'.

EUROPE
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Rayman (PS1)

NORTH AMERICA
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The Secret of Monkey Island (Sega CD) - Not sure if the text is in Japanese, but if so, would be a classic choice.