I absolutely loved Super Smash Bros. Melee, however, Brawl somehow topped that spectacle for me. The various offline and online modes are just the tip of the iceberg. The character roster was massively expanded, it's one of the best looking Wii games by far, no other game provides so detailed a history of its producer, and so much more. I can wait patiently for a year more (darn you, Sakurai, that's it) until Smash Bros. 4 with Brawl keeping me at bay.
My favorite character would have to be Roy. He may not be in my favorite game, however, his standard B attack can literally always be an instant KO if timed right. If I have to choose a character from the same game then let it be the badassery of Ganondorf.