Super Mario World
I love this game, particularly the fact that it has such a large number of secrets, including hidden exits and hidden levels. It's a game that you can also beat by skipping most of the levels, but you need a lot of patience with the final fight with Bowser if you do so, as doing it this way makes things slightly tougher in that entering his castle through the "back door" removes a checkpoint and (I think) a power up.
I'll confess that, on my last playthrough (on SNES mini) there were some achievements I never managed to recreate - mostly finding all the levels. The secret exit to Soda Lake is the sort of thing you never want to do again, as is getting past the notorious "Tubular" level where you have to float (or fly on Yoshi) and a single hit will always send you falling to your death.
I do have a save file on the Gameboy Advance port which I've 100%ed, so maybe I'll have another play of that one so I can do the levels I've missed on my last play.