I don't have any single game that is my favorite. But I do have a few that are tied for different reasons.
1. Muramasa: The Demon Blade (Wii)
2. Super Mario Galaxy (Wii)
4. Kirby's Canvas Curse (DS)
I suspect this list is going to change soon however with quite a few major games coming out. Most notably Dragon Quest IX, Metroid Other M and possibly Super Mario Galaxy 2.