Hmm, I haven't played so many games to make a huge collection in which I can just choose one. If I was for my first ever game I loved, Pokemon Gold. I remember me 8 years old in a computer when we found the ROM. Good old times.
But then again, a lot of new games have appeared, which are actually pretty good. Take Spyro. Since I played "Spyro 2: Ripto's Rage", I've been adicted to that game. I have played Spyro, Spyro 2, Spyro 3, The Legend of Spyro: A New Beginning, and began with The Legend of Spyro: The Eternal Night on the DS.
God, I CANT'T just choose ONE. But if I was to chiise the game that I most liked and played, it was Megaman Battle Network 5: Team Protoman/Team Colonel/Double Team DS. I played Team Protoman on GBA (VBA actually), and conquered it. Then, when I got my DS, the first thing I did was to get Double Team DS. Since that, my .sav data has been lost many times, and now, is like the 8th time I'm playing it, and still love it.