Arcade: Metal Slug
Game Boy: Super Mario Land
Game Boy Color: The Legend of Zelda - Link's Awakening DX
Game Boy Advance: Final Fantasy V (honorable mentions: River City Ransom EX, Ninja Five-O)
Nintendo DS: Dragon Quest V
Nintendo 3DS: Shin Megami Tensei IV
NES: Super Mario Bros 3
SNES: The Legend of Zelda - A Link to the Past
N64: Perfect Dark / Jet Force Gemini / Banjo Kazooie (impossible to choose one, sorry)
GameCube: Metroid Prime (Tales of Symphonia was also great)
Wii: Sin & Punishment 2 (only played it once, but remember enjoying it a lot)
Switch: The Legend of Zelda - Breath of the Wild
Sega Genesis/ MegaDrive: Alien Soldier
Sega CD: Snatcher
Dreamcast: never had one, but I guess it's Ikaruga
PSX: Valkyrie Profile
PS2: Shin Megami Tensei III: Nocturne
PS3: never had one, but I guess it's Dragon's Dogma
PS4: Bloodborne
PS Vita: Muramasa Rebirth
PC: DOOM