My top 5 would be these. Be aware that I have not played GT5 yet:
1. GT4 Mission 34 - SLR McLaren '03 at Nordschleife - The Nürburgring is my worst nightmare. To this day, I have not managed to complete a full lap of the Nürburgring without going off track, and I don't think I ever will. This is a challenge I never cleared legitimately, and it will stay that way in the near future.
2. GT4 Speedster Trophy - As you may know, the AI cheats in this event, and have cars that are way faster than what the player can get. I got by here with sheer luck, and a lot of ramming. I don't care about dignity. If the AI plays dirty, so will I!
3. GT6 Goodwood Challenge 5-3 (Red Bull X2010) - Let's take a moment to consider that this one challenge took me more attempts to gold than the other 14 Goodwood challenges combined. That's how difficult this challenge is on a pad. The X2010 is near impossible to drive on a pad, as you need to have a fighter jet pilot's precision to even keep the car on the track, let alone be fast enough for the gold. But once you nail that perfect run, it's so satisfying. I actually saved a replay of my gold run to keep as a motivational video, as something to remind me that nothing is impossible.
4. GT3 Professional MR Challenge - Another case of cheating AI, though in this case, it's GT3's obnoxious rubberbanding at play. This one event pretty much ruined GT3 for me, and the rubberbanding is the reason why GT3 is my least favorite main series GT game. You can bring a JGTC NSX to this event, and the AI will still keep up with you, even though they are using road cars, in flippin' Trial Mountain!
5. GT1 License IA-7 - Griffith 4.0 at SSR11 - A speedboat on wheels, on the hardest fictional track in GT history, with physics that just accentuate the TVR's handling problems, and a strict time limit. There is a reason why this is the only license test in my top 5, and it's because it has all of the elements to provide a very frustrating experience. I was put off of beating GT1 for a long time because of this test.