Burnout, Midnight Club, and Pursuit Force games provide a good challenge don't they? and Juiced Eliminator
I'm currently playing Test Drive Unlimited and it is pretty easy, the car clubs are basically cakewalks. You pretty much have to go to a race event and pick hard in order to get any challenge. The speed camera challenges can be tricky though. but I'm loving the game nonetheless. (It's one of the first PSP games I ever played, so it's been a long time. I'm glad I decided to revisit it. In a way it's even better than I remembered.)
NFS ProStreet and Carbon are admittedly easy. But what about Underground Rivals.