Ancient Empires is a pretty good puzzle platformer. It's not the hardest, but it definitely takes a while to get it worked out.
Mercury Meltdown is a phenomenal game. It's somewhat of a platformer, requiring bastard-hard coordination to navigate, but it also has plenty moments where you're left scratching your head like a gorilla.
Echochrome is another phenomenal game. For anyone that doesn't know, it's basically an MC Escher game. You have to connect separate pieces of walkway, obscure things to hide their existence, and basically do all sorts of crazy shit.
Final Fantasy Anniversary Edition isn't exactly a puzzler, but the final dungeon (the Labyrinth of Time) is basically 30 puzzle minigames that are surprisingly difficult and foreboding.
Out of those four, if you were only going to try one, I would be split between Mercury Meltdown and Echochrome. Mercury has a lot more replay value and it's way harder, while Echochrome is just altogether a cooler concept, but turns stale kind of fast.