By "skill games", I assume you mean games:

• Whose difficulty is mechanical/tactical rather than strategic. This excludes many games like Europa Universalis or Civilization

• Whose difficulty is caused by other players in a PvP format. This excludes many games like MOBAs, RTSs, and fighting games.

• Whose difficulty is not caused by randomness or otherwise overcome by brute force RNG.

You'd probably enjoy bullet hell shooters or roguelikes.

My favorite is the classic "Nethack". It's pretty much the next step up past the original Rogue itself. If you want a more modern iteration with a better GUI, try the "Vulture's" series. They look pretty. The game is very unforgiving, it has an end, but you probably won't ever reach it.

Another roguelike that bleeds into city building is "Dwarf Fortress". It carries many of the similarities in theme as Nethack/Rogue, but instead of descending a dungeon, you're taking care of a large city of Dwarves. It's very difficult.

Other popular difficult games are FTL (more tactical skill required) and The Binding if Isaac (more mechanical skill required). Both games feature a ton of randomness to make themselves difficult.

You could also try the platforming genre. Some games like Super Meat Boy and I Wanna Be The Guy require tons of unforgiving mechanical skill. If you want more forgiving platformers that have a really hard hard mode, try Cave Story or VVVVVV.

One of the most classic bullet hell shooters is "Ikaruga". It's a great introduction to the genre and not immensely difficult once you get used to it. It eventually becomes a game of memorization and habit. People have taken perfection of this game to the extreme. It's the most mainstream bullet hell shooter, but it's arguably one of the best if only because it's so refined and pushed the color-swap concept so well.