SMB3. Granted, I'm not very good at it at all, but I still love it.
And honestly, I've always thought that SMW (which seems to be cited by a lot of people as their favorite game) is a bit overrated. Now, I'm not saying that it's no good - it's awesome - but I don't like it nearly as much as SMB3. Mainly, it's because I personally think that the level design is a bit uninspired compared to SMB3, and because I don't like the level themes as much. I think I even read once that the creators felt that the design was a bit rushed compared to previous Mario sidescrollers. Dunno where though.