Has anybody mentioned the Omega Weapon in Final Fantasy 8? Granted, it's optional, but that thing is impossible to beat unless you've done all of the miserable card quests. Oh how I hated the card quests. I gave them a shot but very quickly I couldn't stand them anymore. Anyway, you need to get the insane items that make your party invincible to even have a hope against FF8 Omega. Literally, if you aren't invincible, that thing just smacks your party members down like gnats. However, I heard from a friend that he managed to barely beat Omega by battling it with his lowest level characters. If you recall, in FF8 the enemies were adjusted according to your characters' levels. I can't confirm what my friend says, but theoretically it makes sense. Omega's stats would be adjusted down in a fight against low-level characters, so it might be possible to take out Omega that way.
Personally, I prefer bosses that are fun to fight, even if they aren't necessarily challenging. I loved all of the bosses in Metroid Prime, for example. They do offer a decent challenge (I have yet to try hard mode), but more importantly, they are simply fun to take on. On the flip side, Mizar at the end of Jet Force Gemini (my favorite Rare game, farewell Rare) was very hard and a royal pain in the neck, as was the final boss(s) in Xenogears.