SMB and Zelda are two of my favourite G&W games as they managed to get the overall basic concepts of the games and squeeze them into LCD handhelds, sure they aren't a patch on the console games but I was impressed at just how much they got in there for the time.
Favourite wise I do love all the Donkey Kong games I've got so far - the original DK and DK Jr are fab games, I've spent hours on each of those maxing out my scores.
I love many of the Mario handhelds as well - Mario's Cement Factory is awesome, so much better than the version they put on one of the Game & Watch Gallery compilations, and the dual screen Mario Bros game was my first ever G&W so it holds a special place in my collection.
Green House is an awesome game as well, one of my more "recent" titles but is insanely addictive!
Managed to snap a few quick pictures of some of my collection, apologies for the quality: