I have to go with the first Ninja Gaiden. Took me 17 years to beat it but I managed to do it last year on a real NES. I could never beat the final boss. It was just one boss battle after another at the end. Anyway I simply loved it. I even found a version of it online where the whole game was flipped so you run left instead of right. Anyway I loved the game and the music was the best.
I didn't like 2 or 3 that much. They added all this extra abilities to Ryu and it made the game too easy. I preferred jumping up walls the old fashion way instead of crawling.
I like a lot of NES games but this is my number one favorite.