I don't remember Velius being all that hard at all. I do remember failing the first time I faced him, so I reloaded and tried things a little more cautiously and put all emphasis on taking him out, and I came out with a relatively easy win.
Hmm, the last boss I remember having any difficulty with was the Ice Golem boss in Kingdom Hearts. And that's just because I didn't know to reflect his attacks back at him, so I just super-glided around casting Graviga whenever it was safe for 45 minutes. Eventually he died. Compared to that, Sephiroth was pretty easy, although much more intense.
I also remember Luca Blight, in Suikoden 2, to be exceptionally difficult -- but then again, even he crumbled when I actually bothered to prepare all three teams for the fight. Normally I'd just have my main team and two filler teams with little to no armor, no runes, and piss-poor weapons. That just won't do, now will it?
Surely there are some other difficult bosses I can think of... but not right now.
I will testify, though, that Bladed Aatxes (Guild Wars, Underworld) are complete bitches. They can hit me, a warrior, for 1/5th of my life -- and will take out a caster in two hits. When three of them swarm you, you really wish your monk had brought Pacify.
Edit: Soloing dragons in UO... with a swordsman. Once I decided to try this. Thanks to insta-hit hit-and-run tactics and constant (I do mean constant) bandaging, I was able to get him down to a little over 1/2 health before I failed a critical bandage and died nearly immediately. The whole ordeal took fifteen minutes. When fighting something with five times your health that can melee you for a third of your health each hit and can fireball you for twice that, it's wise to bring a mage. (Which, actually, was pretty easy, IIRC.)
Once I heard rumors of someone soloing a Balrog...