MotS definitely took the most of me to finally finish (I finally accomplished this a few months ago, as did my roommate, yay! :D)
Back years ago, it took me forever to figure out the second level where you had to make the turret shoot the explosive barrels to shut down that force field. I played through that level over and over and over to that point, not knowing what I had missed (which was, in a sense, nothing really). I think I actually found out how to do that part by accident.
Then the swamp level and forward stopped me again when I tried to play through the game again during high school.
JK and JO are probably about tied for how hard they were for me to complete -- granted, the two games share few common super hardships, they have their own hard points and easier points.
Dark Forces just scared me when I was younger. I just couldn't handle Anoat City. Last year I played through DF though, and it wasn't too bad save for those dianogas (still frigging scare me when they pop up in my face like they always do). I didn't have too much trouble with the Kell Dragon -- holding the Run key and keeping out of corners did the trick for me (this "run" key is very much an understatement). I probably have to rank DF higher difficulty than JK and JO though. Oh, and the control in DF is terrible without proper WASD+Mouse, a difficulty in itself... otherwise I'd probably play DF a little more often.
Haven't played JA yet, but sooner or later I'll pick up a copy.
So for me, difficulty ranking (from most to least difficult):
MotS, DF, JK/JO
May the mass times acceleration be with you.