Super Mario Bros.3 (especially the "advance" version), no contest. Too bad I've mastered the game and don't find it challenging anymore. It took me years to find all the secrets and was just a great game. Of course, NSMB is great too, and so are the original games.
I chose Super Mario Bros. 3 since it set the standards for all the side-scrolling Super Mario games to follow. It gave Mario and his brother, Luigi new abilities and introduced many new enemies including the fortress mini-boss, Boom-Boom and Bowser's Koopalings, who pilot the doom ships at the end of every level. It also introduced us to themed levels taking place on maps, including my favorite being World 5, which begins in a grassy field, but when you enter the tower, you'll have to climb a few stories of the interior and exterior of the tower to reach the top, where you'll exit to the second half of World 5 which takes place in the clouds by entering a pipe to exit the tower level.