I never finished Ninja Gaiden either. Couldn't handle the last boss. Same thing with Zelda II. Evil Link frustrated me to no end.
Punch-Out was a tough game for me until I finally beat Tyson. After that, I could walk through the whole game without going down. I fired it up recently after not having played in probably 15 years, and I made it all the way to Mr. Sandman before I hit the mat. Like riding a bicycle.
Despite all the frustration, I prefer my NES to any console before or since. The difficulty was high enough to make you feel a true sense of accomplishment after finishing a game. Today's games are more like movies that you play through. Most feel like a walk in the park compared to the NES days.