That's a really hard question because there's way too many fantastic games I can think of from third gen onwards. Third gen has Super Mario Bros, Castlevania, Mega Man, Zelda, Contra, and a ton of others. Fourth gen has Super Mario World, Donkey Kong Country, Sonic, EarthBound, Final Fantasy IV-VI, Doom, Dynamite Headdy, etc. Fifth gen has Metal Gear Solid, Final Fantasy VII-IX, Parappa the Rapper and UmJammer Lammy, Spyro, Crash Bandicoot, Zelda Ocarina of Time and Majora's Mask, Super Mario 64, Silent Hill, Resident Evil, Paper Mario, Unreal Tournament 99, Quake, et fucking cetera. Sixth gen has Silent Hill 2 and 3, Katamari Damacy, Super Mario Sunshine, Ico, Shadow of the Colossus, Psychonauts, Paper Mario and the Thousand Year Door, Zelda Wind Waker (and possibly Twilight Princess since that was originally supposed to be just a GameCube game), Metal Gear Solid 2 and 3, Halo 1 and 2, Spider-Man 2, Sonic Adventure 1 and 2, SimCity 4, Half-Life 2, Phantasy Star Online, Hitman: Blood Money, The Elder Scrolls III: Morrowind, Persona 3 and 4, Mother 3, Final Fantasy X and XII, and TOO MANY FUCKING OTHERS. Seventh gen admittedly has less gems than the previous three gens, but it's still got some great games like The Walking Dead, TF2, Guild Wars 2, Portal 1 and 2, the Half-Life 2 episodes, Left 4 Dead 1 and 2, Sonic Colors and Generations, Fallout 3 and New Vegas, Zelda Twilight Princess and Skyward Sword, Super Mario Galaxy 1 and 2, Strong Bad's Cool Game For Attractive People, Mirror's Edge, and some other's I'm probably forgetting.
Though if I had to choose a favorite, I might have to say the sixth gen. There's too many games from that gen I love. Too fucking many.
Also, I am very sorry for that wall of text above.