NES - Super Mario Bros. 3
Sega Genesis - The Lion King (I'm not sure if this would still be my favorite if I played it today, but it was as a kid)
N64 - Zelda: OoT
GC - Pikmin
Wii - Super Mario Galaxy
PC - The Sims
For the older handhelds I don't remember the games as well so I'm just going with what I most remember playing.
GBC - Zelda: Link's Awakening DX (I think that is the right name?)
Game Gear - Primal Rage
GBA - Mario Kart (Don't remember the subtitle)
DS - GTA Chinatown Wars