Honestly.... I have too many favorites to pick (I suck as picking favorites of anything anyway). I love games from all over the board, ranging from RPG to puzzle to survival horror to platformer.
My tops though are:
Bayonetta. It was one of the most challenging games I have ever played. And I love the main character Bayonetta, she's such a badass. And the music in the game is amazing - awesome jazzy snazzy feeling with a great mix of extreme epic fighting music.
Mario is my absolute favorite party-type game though, especially New Super Mario Brothers for the Wii. That is such a fun as heck game. Brings back fun memories of me yelling at my best friend (and vise versa) at failing at some parts of the level, especially World 9 - the world of all worlds man.
Another favorite of mine is Portal 2. I just love the characters in it, they're truly what makes that game so awesome. Even if you hate puzzle games I'd recommend playing it just so you can hear the snarky comments from the characters in it.
And last....the Kingdom Hearts series. As kiddish as the game is it really is an amazing game that will pull on your heartstrings and has so many messages on friendship and the good and evil in all of us.