Hard to say. I'm going to choose SMW2: Yoshi's Island. You know, the battle against Baby Bowser (I called him Bowsie). The second part of the battle ticked me off something royal, but it's hard to top the intimidation of seeing Bowser getting ever closer to the screen. And it's funny that an egg going straight up in the air always hits something flying overhead.
Other favorite final boss battles include the fight against Bowser in Super Mario World (for nostalgia), and the final battle in Super Mario RPG (great music, and the guy looks like a demented Santa Claus).