I dunno to be honest. I'd say Earthbound, but I haven't even played it yet (but from seeing chuggaaconroy's LP of it, I want to REALLY badly) so that's out the window.
I love Zelda, but I just don't love it enough to consider a Zelda game my favorite game of all time.
Mario, I love Mario but again, I don't seem to love it enough to say that one of my favorite games is a Mario game.
My favorite game of all time would probably be Final Fantasy V. Not because it's the most epic or the most awesome game I've ever played, but just because I had so much fun doing it. Man, I will always remember all the hilarious mischeif Bartz, Lenna, Galuf, Faris [spoilers]and Krile[/spoilers] got into together. Galuf was easily my favorite just because of how awesomely hilarious he was. I also remember how annoyed I was when I figured out that there were levels of magic and I had to have a certain level magic ability in order to use the right Black/White Magic. I swear, by the time I reached Ghido, Lenna mastered the Time Mage job since I had kept her on that since I got the job from the Fire Crystal and only had level 4 White Magic. Man, I love that game so much.