If I had to pick a favorite game ever, it would be Super Mario Bros. 3. I guess it's more accurate to say Super Mario Advance 4, since that's the version I had, but it's pretty much the same thing. I've always really liked how Mario handles in that game, and the level designs are really solid. I bet a big part of the reason I like it so much is because I played it as a kid, so it felt like a huge game since it took a long time to beat since I wasn't as good at video games. But it still holds up pretty well today!
As far as more recent games go, Ori and the Blind Forest is up there because of how pretty and polished it is, and Undertale is up there because it's Undertale.