Well, I'm really, really fond of Boo's Mansion, just having a different way of entering the level is pretty brilliant and the first time I accidentally discovered the basement was pretty brilliant.
The lava level is also really brilliant, I love "skating" around on the coopa shell on the lava, and entering the volcano and going the two different path's up is pretty cool, too.
To be honest there are a lot of levels in the game I really enjoy, I love the slides in both the snow world and the mountain world, I love battling the hands in the shifting sand world (that's the last star I do in the level so that I can look forward to it), I first learned jumping between buildings in the hidden city in the water level, and big/small island is also brilliant.
It's a great game overall, one of my favourite Mario titles (alongside Super Mario Bros 3 and Super Mario World).