Super Mario World is my favorite Mario game.
I truly love almost every game in the series, but others worth noting in particular (for various reasons):
Super Mario Bros. - one of the greatest games ever for its time.
Super Mario 64 - not the best Mario game, but probably the most awe-inspiring video game ever upon initial reaction.
Super Mario Galaxy 2 - the most polished 3D Mario game.
New Super Mario Bros U - by far my favorite of the "New" series.
Super Mario Bros. 3 - a bit overrated, but a great game nonetheless.
Super Mario Sunshine - heavily flawed, but it still has its moments.
The Lost Levels (the real Super Mario Bros 2) - no sir, I didn't like it...
Super Mario Bros 2 (USA) - love it. I'm so glad we here in NA got this game instead of the true sequel. Love it or hate it, it introduced a whole new universe of characters and showed that a Mario sequel could at least feel new as opposed to an overly difficult expansion pack like The Lost Levels.
SMW2: Yoshi's Island - also kind of regarded as a black sheep, which is a shame since it's a true masterpiece. It still makes me smile to this day whenever I play it.