Yep, I've done it. Did it on the NES and on the GBA. No lost lives, though, hell no. I died plenty of times. Death (Grim Reaper) is a tough as boss. If I don't have the crucifix going in, I'm pretty screwed.
I think Ninja Gaiden for the NES is harder, though. That game kicked my ass up an down.
Side Note: Beating tough games is an awesome experience. Its so rewarding. Games like Wind Waker, MGS3, and RE4 are fantastic games, but I never even came close to dying in WW and in the other two, under 10 deaths. When I beat Ninja Gaiden for XBOX, I was just like YES! Maybe the ending was this huge cinematic tour de force, I but I felt awesome. I conquered a game that most people had written off as "impossible." Awesome feeling.