I'll happily sit here today and admit that the SNES had more all-time classics than the Megadrive, but if you'd suggested that to me in 1993 you would have been met with a multitude of reasons why the Megadrive was my system of choice (the main one, in truth, being that my dad bought me one). In the early 90's though, there's no way I thought the grass was greener on the other side (more shades of green perhaps, but how many shades of green can the human eye actually detect? Hmm?). For my twelve year old self, Sonic was better than Mario. Mortal Kombat had blood. Nigel was a better hero starring in a better adventure than Link (with a better name). Vectorman had snazzier graphics than Donkey Kong Country. My version of Aladdin was better. I could plug headphones in. The 32X was going to be great. The machine looked a bit nicer. And so on.
So if we're talking favourite (as we are), +1 vote for Sega.
Some of my all-time faves are Megadrive exculsives: Dynamite Headdy, Landstalker, Shining Force II, El Viento, Magical Hat Turbo Adventure, Sonic 2, Sonic 3+Knuckles, Rocket Knight Adventures, Ecco The Dolphin 1&2 (am I the only person who genuinely loved these to bits?), Red Zone, Streets of Rage 2, Toejam & Earl 1&2.