I have three favourite Mario games that I think together completes the Mario experience. While I certainly enjoy other Mario games, there just haven't been any that I feel has taken over the spot that these three games hold for me.
Super Mario Bros 3: Themed maps, a wide selection of power-ups (first Mario game to really do this), the ability to store the unused power-ups for later occasions (I miss that!)
Super Mario World: Relied more on moves than power-ups, introduced Yoshi, a massive world map where you got to replay old levels at any given time, a ton of secrets, and it even played around a bit with depth, like allowing Mario to climb on the other side of the walls
Super Mario 64: First transition into 3D gameplay and it was done so very well, relied very heavily on moves rather than power-ups as the hats really only gave you a special ability for a limited time, several objectives within the same level, giving us more bang for every level, more freedom in choice of levels and objectives, making it possible to skip entire worlds in favor of others if you didn't plan on 100%-ing the game
Asking me to pick a favourite between these three is like asking a parent to pick a favourite child.