I can never name favourite games so I'll just say what I've been playing lately.
Pocky and Rocky on SNES. WHY DID NOBODY TELL ME THIS GAME WAS AWESOME?!?! Awesome but fucking hard. Goddamn bats.
R-type Final. Pretty awesome, the sheer number of ships is amazing, but unfortunately the level design is really lacklustre compared to, say, R-type III. I hear Delta's good, might have to pick that up at some point.
I also gave Gradius III a playthrough recently. Save stated the fuck out of it, though, because it's hard. I'll get V at some point to sit alongside R-type Final.
Pump It Up Pro. 5-panel dance game collaboration between Andamiro (Pump It Up) and RoXoR (In The Groove). Personally I love it. I haven't felt the urge to even touch the Pump NX since the Trocadero got this. Also been using Stepmania to make a few edits, since this machine actually has USB slots.