Xenogears, some of the best story telling and !@#$ing giant ROBOTS!!! (with some religion thrown in for %^-*s and giggles)
Was hard to pick over Zelda/Mario Bros on the NES but I have to go with Golden Axe on the arcade.
the original donkey kong for the colleco vision.. for those who are young.. colleco was made before Atari and had an adapter to play Atari games. donkey kong was made by Nintendo :D