That's a good question. I guess it depends on your own skills or just what you're comfortable with.
So far in my experience I've found that the more experimental games are the most challenging, because you're not expecting what they throw at you. Indigo Prophecy(aka Fahrenheit) and Mirror's Edge are two very good examples of this. They require a mix of
different skills at once, pushing both your mind and reflexes at the same time.
For instance, Mirror's Edge main summary would be this - Jumping across rooftops while being shot at, and having to decide which rooftops are best to jump to.. and you must keep moving at all times. If you stop to think about it, well, you get shot. :p
Which brings me to another point; The ones I've found that are much more addicting but also harder, are ones where they leave the method totally up to you. Instead of a linear gameplay giving you only one path, like a rollercoaster, instead you must choose
the path yourself; Hitman, Assassins Creed, Fallout, Elder Scrolls, etc. all of these are ultimate examples of that.