My favorite game is hard to call. I'm split between Gunstar Heroes (Genesis) and Guardian Heroes (Saturn), both by Treasure.
My favorite series of games is The King of Fighters...I really enjoy the style of the game, the characters, storyline (one of the few fighting games where I actually pay attention to the story), and gameplay. I've played a lot of fighting games, but none appeal to me quite like KoF (and Garou: MOTW). My favorite KoF game is 98 for the characters and play, but I liked 97 for the in depth storyline and endings, and 96 for the stylized way it was presented and the Boss Team.
Honorable mention for fighting games: World Heroes Perfect by ADK.