Seeing as I asked about Sonic games in the other thread.

I think my answer would largely depend on how one defines a "Mario game". If we count any game with Mario as the protagonist, then Super Mario RPG is definitely my favorite. However, if we're counting just the platform games, then I might have to give Super Mario 3 a (very) slight edge over Super Mario World. There's a charm and quirkiness to it that I adore.