Playstation 3: Valkyria Chronicles or Disgaea 3. I can't decide.
360: Tales of Vesperia
Wii: Metroid Prime Trilogy
DS: Either Dragon Quest IX, or Pokemon Heart Gold. Both of them I imported and they are both awesome. For a game that was released in the U.S, Final Fantasy IV. There are tons more though. This isn't my favorite platform of all time for no reason.
PSP: Disgaea even though I already have the PS2 version, playing it on the PSP without it being changed is great.
PC: The Orange Box
I don't think any of them will stay my favorite because of various games.