NES ~ Never had one proper, but thanks to collections like Super Mario All-Stars I can confidently say my favorite off the system is Super Mario Bros. 3.
SNES ~ Donkey Kong Country series. The original is my favorite but all three are among the finest platformers you'll ever find, and considering platformers are my favorite genre of video games, these are my bread and butter.
N64 ~ Hmm, probably Paper Mario. Shout-out to Majora's Mask though.
Playstation ~ Final Fantasy Tactics. Those grid based battle system featured in games like these and the Disgaea games are easily my preferred style of turn-based combat, it's just a lot more involved. I'll admit, I didn't pay one iota of attention to the actual story, which is probably an unforgivable sin while playing an RPG, but the battle system and the class character customization system are incredibly fun and rewarding.
Playstation 2 ~ Either Xenosaga, Star Wars Battlefront II, or Tony Hawk's Pro Skater 3. At least off the top of my head those are the ones that jump out, I'll go with Xenosaga since it was the only one not multi-platform.
Dreamcast ~ Never played a Dreamcast proper (though I do plan on buying one soon-ish) but I love Sonic Adventure 2 Battle on Gamecube, or at least, I love some of it, so Sonic Adventure 2 seems like a safe bet.
Sega Saturn ~ Never played a Saturn proper (though I never plan on buying one because ew) but thanks to Sonic Collection games I can say Sonic R is my favorite there. Which I do like for it's charm and soundtrack, but that's not a good sign. I know it's because X-Treme was development hell but it's still baffling to think how little Sonic was put on this system.
Gamecube ~ Sonic Adventure 2: Battle! It is up there for me but the real answer is like Melee because I'm generic. Shout-out to the Day of Reckoning games too, in terms of raw gameplay, those are head and shoulders above every other wrestling game for me.
X-Box ~ Halo or Halo 2. Also liked the original Fable a bit but it was pretty much just a Halo system for me. I think Halo: Combat Evolved's the better game, but I like Halo 2 more because I've got more memories attached to it. So Halo 2 for my favorite.
Out of all my favorite games listed here, I'd say Donkey Kong Country, Xenosaga, and Tactics are my favorite of the bunch. But there's a massive catalogue of amazing games for all these systems except probably the Sega Saturn.