NES - Mega Man 2, People have already said why in this thread.
SNES - ClockTower, granted I played a repro (having bought the original game) and it's a Super Famicom game, but it's so good. I love it.
Nintendo 64 - Space Station Silicon Valley is amazing, I love it's wackiness
Gamecube - Too many to list. RE4, Killer7, Skies of Arcadia, Ikaruga, Sonic Adventure 2: Battle and Baten Kaitos come to mind but there are plenty of others... I realise that 3 of those were originally DC games lol. Fuck it, I'm going with Viewtiful Joe, final answer.
Wii - No More Heroes 2. Thank god for this game because picking a 2nd favourite 3rd party game on the Wii would've been haaard. EDIT: WAIT, Mega Man 9 is better than NMH 2, great game.
Wii U - ZombiU. Such a good survival horror. Best launch title on the system...Or Shovel Knight.
NES: Mega Man 3
SNES: Mega Man X
N64: lol
GameCube: Viewtiful Joe
Wii: lol
Wii U: lol
GBA: Mega Man Battle Network 3
DS: Phoenix Wright: Ace Attorney - Trials and Tribulations
3DS:Shin Megami Tensei IV
Take it you're a Capcom Fan!