I do this too! I find difficult games relaxing because of the way I have to think patiently and rationally about them. Honestly, I even prefer less pleasant hard games when I'm feeling down; ones that are "too fair" like Battle Garegga just make me upset that I'm not giving them my best.

I've enjoyed Metal Storm, Castlevania I, Gradius III for SNES, Bucky O'Hare, and (in the past (oh god)) a handful of Super Mario World & Super Metroid ROM hacks.