I played Mario 1, 2 (the Doki version), 3, World, World 2: Yoshi's Island, 64, RPG, and Super Mario Land 2. I haven't played any since SM 64. No particular reason for that; I just haven't picked any of them up.
I never finished SMB 1. I got to the last stage, but could never clear it. I still remember bouncing on a Koopa shell for ages to get more 1-ups.
I like SMB2 - it was very unique and fun at the time. A lot of the enemies in it have become a stable of many Nintendo games, even crossing over into Zelda a few times. I'd love to see some of the bosses from it return some day.
SMB3 is awesome. Like Snorb said - the Tanooki, Leaf, and the Shoe are tons of fun. I like the P Wing too, though it makes some levels a little too easy.
I loved Super Mario RPG because it made Bowser playable instead of just the same old villain. And he used a Chain Chomp for a weapon! That was just a whole new level of coolness.
Mario World and Mario Land 2 were both great as well, but they were much easier than the previous installments. Mario World gets bonus points for introducing Yoshi. I refuse to even consider playing Yoshi's Island again. That game was just too annoying. I don't even remember Mario 64. I know I played it and I'm pretty sure I finished it, but I don't remember a single thing about it at all.