1. Super Mario Bros. 3
2. Super Mario World
3. Super Mario Land 2: 6 Golden Coins
I think the "system" of powers, blocks etc. established in "Super Mario Bros." and used in its sequels (minus the American "Bros. 2") as well as "World" and the first 2 "Land" games is the best system to be used in any Mario games, and possibly in all adventure-type video games. I also feel the best variation on this system is in "Super Mario Bros. 3," with elements like the system of storing powers and acquiring exotic powers like the Hammer Bros. suit and Jugem's Cloud. I also think its difficulty level is better than that of its rivals ("World," by contrast, is too easy). The Mario vs. Luigi aspect of it makes for more enjoyable 2-player gameplay than other 2-player Mario games, which usually have them working together. Besides all those things, I think the programmers really outdid themselves with the graphics, music, and gameplay, making the most of the N.E.S.'s capabilities. Although I was pretty young when it came out, I do remember it seeming like it was head and shoulders above other N.E.S. adventure games in terms of looks and what you could do.
That's why I like "Super Mario Bros. 3" the best.