Understanding short-duration intense rainfall is crucial for mitigating flash floods, landslides, soil erosion, and pollution incidents. Yet, most observations from rain gauges are only available at the daily resolution. We use the new Global Sub Daily Rainfall dataset to explore extreme rainfall at both daily and sub-daily durations worldwide. Employing Single Gauge Analysis (SGA) and pioneering global-scale Regional Frequency Analysis (RFA), we reveal for the first time how Generalized Extreme Value Distribution (GEV) parameters change across climates and data durations (1h, 3h, 6h, 24h, and daily). This marks the first-ever near-global-scale RFA, made possible by the development of an algorithm that automates RFA on observed rainfall datasets. We compare our results with GEV applied to a gridded rainfall reanalysis (ERA5). Our key findings are that: 1) using ERA5, return levels are significantly underestimated across all climates for 1h rainfall and across all data durations for gauges in the tropical climate region. Even when accounting for differences between point and areal estimates, the median 1h return level estimates are approximately 40% lower compared to RFA. We therefore strongly advise against the use of reanalysis gridded rainfall for studying these extremes. 2) While most gauges show similar return levels with RFA or SGA, some differ significantly, and either method may yield the highest values. Thus, we strongly recommend using both SGA and RFA simultaneously to estimate return levels for a robust risk assessment in flood infrastructure design. 3) The interaction between daily and sub-daily GEV shape parameters varies across climate regions, rendering a universal method for inferring sub-daily rainfall extremes from daily extremes (e.g., using Intensity-Duration-Frequency curves) impractical. Our research provides innovative methodological insights that warrant consideration in future studies on rainfall extremes. Our results not only benefit local stakeholders globally but also serve as a crucial validation tool for the rising number of convection-permitting climate model experiments conducted worldwide.