Oh, SO MANY FAVORITES!

But, I'll go by systems.

Super Nintendo: Super Mario Bros. (DUH!)
Sega Genesis: Sonic the Hedgehog
Sony Playstation: Lara Croft: Tombraider
Nintendo 64: 007: Goldeneye

And that's all that's classic to me! (Plus, I've hardly ever played anything newer than those last 2, so!)