Adding to what has already been mentioned -- here are the games that ranked up to the number 20 in last year's GB Annual List that I played and thought had the most challenging puzzles.
Grim Fandango
Keepsake
Sherlock Holmes Nemesis
Darkness Within: In Pursuit of Loath Nolder
Riddle of the Sphinx: An Egyptian Adventure
Mysterious Journey 2: Chameleon
Sentinel: Descendants in Time/Realms of Illusion
Yoomurjak's Ring
Note: it's a bit hard to separate games with puzzles that are difficult and fair from games that are difficult because of poor puzzle design -- often examples of both types of puzzles are to be found in the same game. And, frankly, I tend to think the puzzles that are well designed are the ones I work at until I understand, and the ones that are poorly designed are the ones I don't understand on my own.
Though often other gamers may "get" the ones I don't, and vice versa.