It used to be Super Mario Bros. 3, but over time, Super Mario World took over that spot. And honestly, New Super Mario Bros. Wii is awesome and underrated. As far as a party game, the New series is spectacular.
But World, in addition to all the secret exits, colored blocks, Star World AND secret world, it improves upon Super Mario 3 in several ways that push it over the top.
1) I think the addition to world maps in 3 was great, along with the secrets like the N card, the Money Ship, and the breakable rocks. But I prefer the inter-connected world of World, plus the short-cuts you can take using the Star World. It just feels like this one giant thing, which I love. Nothing against 3 and the really cool world themes, especially Giant World.
2) The level length is better. 3, because it was on old hardware, has some pretty short levels. I never noticed for years, but once I finally played World (I was a Genesis kid, so it was a wait before I could play it front to back), I went back to 3 and couldn't believe how quickly the levels ended. Course, there are some short ones in World, but the shortest one is such because it has a secret that you need to meet certain criteria to get.
3) Save system. The one thing I can say is bad about 3, and really this is technological, is it gives you a lot of content with no save states. If I play through all of 3, I have to prepare to sit down for a whole evening because unless I skip a bunch of levels, I'm not playing Worlds 1 through 8 in the span of a couple hours. World's save, while not perfect (I always restart with five lives no matter how well I was doing), is a great upgrade since the game gives you an abundance of content, but you can take it in spurts.
Plus, even if I left the NES on to break up sessions, I'd have no guarantee the game would still be working since I never knew what would cause the screen to get lines on it, switch to solid colors, for the game to freeze, etc.
So yeah, it's probably World now.