My favorite is Way of the Warrior.
I love many other titles a lot. Was playing Paris again on Shockwave last night. (Also was playing some White Book CDs on the new MPEG adapter, but we won't talk about that.) Love The Horde and can play it for hours.
But... WOTW is my favorite. Doesn't mean I can't think of things I'd like tweaked about it. My critical eye as a recently ex-computer journalist and software reviewer (and not like the EGM kind which drive me nuts) makes me see little flaws... but damn WOTW is refreshing. It can make me very angry when I lose. I can yell and scream when I come from behind to defeat some opponent. When I accidentally call on skull magic and transform myself in some way, I want to jump out of my skin. SF and MK used to be boring by the second or third time I saw down to play unless I happened to be in the right mood. WOTW always remakes my mood into the right one if I sit down and play.
If I play a particular character, I feel myself taking on some of their persona. My favorite is Nobunaga--he's classy, formal, and moves beautifully once you get the hang of him. I definitely feel moral superiority over the other characters when playing Nobunaga.
I enjoy Ninga because he feels mysterious, and he has an affinity for wind which I love. He makes the best sounds, IMHO. I love it when he taunts in that gravel voice "Weakling" or offers a rematch challenge "You have no honor." Great stuff.
When I am in a humorous mood, I play Konotori. Just like Dragon is a spoof of movie kung fu heros and the old-style combat games, so Konotori is a spoof (to me.) He pokes a little fun at those kung fu artists who think they are some kind of animal (i.e. dragon style, monkey style, etc. ) Konotori thinks he's a bird and he's obviously just a little tweaked. I enjoy the dynamics of mixing in his flight (especially on the Cliffs where other characters often hit mobility problems.) His thrown fan moves in great patterns and I enjoy his fatalities a lot. Next time I want to play him again and try shrinking him with skull magic and flying around. <grin>
P.S. Don't ask. I'm not as generous with my secret moves as David is! :-)