You've gotta specify the difficulty! (And also whether you include the pc-98 games, photo games, etc.etc.)
Talking only about Lunatic and the Windows series, I would definitely go with UFO. My hands are in the air, nothing more to say, it's the hardest game.
Also, all those people saying SA is the hardest game are ludicrous! What are those maniacs thinking!? I have you know I was clearing SA on Lu[bias bias bias]
If you include PC-98 I'd probably say PoDD since I hear a lot about it being damn hard, and from watching streams and videos of it I can sorta see why. I've never played it myself though so my opinion on it is worth very little.
On other difficulties things vary quite a bit.
On Normal it's generally seen that SA is the hardest, but I'd strongly contest that since it's not too bad on normal!
During my first 1ccs on normal I found UFO and IN a lot harder than SA. EoSD was also harder for me than SA, but to a lesser extent.
These things are quite subjective, so take everything said with a pinch of salt, including what I said!