My favorite used to be a contest between 3 and World, but I like World better now for sure. World pretty much perfected what 3 accomplished and I loved the absolute crud out of playing the extra levels multiple times in the GBA version.
I'd say the Super Mario Galaxy games or New Super Mario Bros Wii. I don't have a switch, wii u, or 3DS so I can't play Odyssey, 3D World, or 3D Land, but if I was able to play them, I bet they would probably be added to that list and it would be hard to pick just one and I would have 5 favorites lol. But since I haven't played them, I only have 2.