Almost certainly forgetting a few, but here goes nothing:
- Vampire Killer
- Fire Hawk
- Psycho World
- Alcazar (on all difficulty levels)
- Dragon Slayer IV
- Rune Worth
- Silviana
- Sofia
- Malaya no Hihou
- Mashou no Yakata Gabalin
- A Life M36 Planet
- Mitsume ga Tooru
- Golvellius
- Shin Maou Golvellius
- Super Cooks
- Shenan Dragon (all 3 routes/true ending)
- Robo Crush
- SD Snatcher
- Fray (MSX2 version)
- Project A2
- La Valeur
- Maze of Galious
- Metal Gear
- Metal Gear 2
- The Goonies
- Higemaru Makaijima
- Bouken Roman/DOTA
- Dragon Buster
- Pitfall II
- MANES (technically loops forever, but I did beat all four stages)
- Rise Out (From Dungeons)
- Tengoku Yoitoko/Welcome to Heaven
- Magical Tree
- Youkai Yashiki/Ghost House
- Zukkoke Yajikita Onmitsu Douchuu
- Strange Loop
- Lupin III: The Babylonian Gold Adventure (or whatever the hell it's called; terrible game, but I did beat it!)
- The Iron Gauntz
- Kyokugen: The Shooting Star Children (difficulty level 3 only; can't beat on anything higher, so no true ending)
- (Izumic Ballade) (In parentheses because I cheated by modifying the code, but I think the game is almost literally impossible if you DON'T do this)
- Yuurei-kun/Mr. Ghost Special (the Takeru disk-writer sequel, not the original)
- Montezuma's Revenge (technically no ending, but I beat the highest-difficulty stage 7 times in a row and only quit because I was tired of playing by that point; I had tons of lives left over and could've likely kept going indefinitely)
- Phantis/Game Over 2
- Howard the Duck (I think? I can't remember if I beat it or just ALMOST beat it and then gave up, but I think I beat it!)
- Pumpkin Adventure
- Pumpkin Adventure 2
- Pumpkin Adventure 3
- Akin
- Singular Stone
- The Sword of IANNA
- Ghost
- Prisoner of War
- Children of the Night
- Multiverse
- Suite Macabre
- Tina's Adventure Island
- Eggbert
- Montana John
- BitLogic
- Diana Cave Adventure
- The Sorrow of Gadhlan'Thur
- Life On Mars
- Lilo
- Noname
- Dim-X
- Sector 88 (all but the best ending)
- Deep Dungeon Adventure (normal difficulty)
- La Corona Encantada (all game modes)
- Malaika (NOT the best ending/I used continues)
- Malaika: Prehistoric Quest
- Spelunkers (the Japanese indie clone of Spelunker, not actual Spelunker or XSpelunker)
- MayQ Buster
- Buddhagillie (one loop)
- Shoulder Blade Overdrive (one loop)
- Inq & Suq vs. Nightmare (at least one loop, maybe two?)
...Again, there's probably more, but that's all that's coming to mind at this time. There are some notable games NOT on this list, too, because -- despite loving them -- I've yet to beat them. This includes commercial games like virtually every shmup, and Penguin Adventure, as well as indie games like The Cure, Cold Blood, Tales of Popolon, and Caos Begins. A lot of these are games I've been playing on and off for a couple years, though, and will probably beat soon -- if I'd seen this topic last year, some games like Tina's Adventure Island, Magical Tree, Bouken Roman, and a few others wouldn't be on it, so I AM picking off the more challenging ones, slowly but surely! 
-Tom
not ashamed to admit that after 30 years i recently finished aliens 
