Hello. I gave some better thought to this, and came to the conclusion, that I cannot compare games of different consoles. So I have to give a favorite Mario to each console.
If we're talking strictly platformers
NES: Super Mario Bros. 3 - it the closest NES Mario to being visually appealing to me, I find 8bit Mario uninteresting
SNES: Super Mario World - the cape ability really needs to comeback, it's so versatile!
N64: Yoshi Story - i like that it's designed to explore, and that it brings out Yoshi's potential
Gamecube: Super Mario Sunshine - Swoosh! Zoom! Splash!. I love zipping around with F.L.U.D.D.
Wii: Mario Galaxy 1 & 2 tied - It's like 64/Sunshine but with better physics and courses
Wii U: Super Mario 3D World - probably will be my favorite Mario game of all time the day I get to play it
Switch: Odyssey - kinda a given isn't it?
Handhelds
GB: Donkey Kong GB - they turned the arcade game into a whole side-scrolling adventure
GBC: Super Mario Bros. Deluxe - that Toad lounge, racing boo, and finding yoshi eggs were good additions
GBA: Super Mario Advance 2 - improved version of SMW, I hear it even had new levels through trading cards
DS: Super Mario 64 DS - SM64 redeemed: graphics smoothed out, can play as Yoshi Luigi and Wario, and a multiplayer mode
3DS: Super Mario 3D Land - its the only 3DS Mario platformer I've played so far, my opinion might change later