It's really hard to pick just one! So, I'll pick a couple instead.
With classic platforms like SNES, Sega Geniuses, etc, I'd have to say: Sonic (1-3), Super Mario Brothers 3, Super Mario World, Super Mario 64 and more. I think that I was more into games back then, so it's harder to pick. Now a days, I'd have to say some of my favorite games have been: Bully, Bayonetta, Halo Trilogy, Gears of War Trilogy, Resident Evil 5 (only one I've played), Heavy Rain, and most of the Lego games (Lego Harry Potter, Lego Indian Jones, etc).
Like I said, it's really hard to pick just one!