The Angliru is supposed to be about the naughtiest I think?
"One of the most difficult climbs in Europe, the Zoncolan has been compared with El Angliru, the fearsome climb in the Spanish region of Asturias. The steepest, 23.6-percent pitch of the Angliru is very short however, being part of a kilometer stretch that averages "only" 17.2 percent. While the Zoncolan has a kilometer of nearly 20%."
http://www.climbbybike.com/climb.asp?qryMountainID=36
Steepest I've been up is Marin Avenue in Berkeley (California):
http://john-s-allen.com/galleries/berkeley/slides/00Marin Ave.html
I don't know its gradient is measured accurately anywhere but I've seen 25% or 30% estimates for some of the ramps.
Thankfully there are road intersections every 50m or so where you can recover. I doubt it has ever been part of a proper competitive race but is good fun for the locals.
Edit: I think the reason you tend not to get really steep roads in France is that they realised at some point you can't get military vehicles up gradients of more than about 8%. I think the extended climb I know in the Alps is up the Mont do Chat from Lac du Bourget, which is just under 10% average for about 10km is one of the hardest. The old route off the Galibier to Briancon is much steeper than the current route for example.