Megaman is my favourite NES series. I think 3 edges out 2 a bit for me because it's more difficult, it introduces Rush, Protoman, the slide move, and has my favourite Megaman theme, the one that plays during the opening. The X series is awesome too, with the first or X3 being my favourite. X4 is really good too.
Some other of my favourite classics are
NES - Castlevania 1, Shatterhand, Star Tropics, Mike Tyson's Punch Out!!, Mario 2 & 3, Contra 1, and Shadowgate
SNES - Chrono Trigger, Final Fanasy III, Earthbound, Donkey Kong Country 1 & 2, Mario RPG, Wild Guns, Turtles in Time, Super Metroid, Contra 3, Castlevania 4, Link to the Past
N64 - Ocarina of Time, Majoras Mask, Banjo Kazooie, Paper Mario, Smash Bros., Star Fox, Mario Party 2, Mario 64
Skipping everything else and going to PC - Interstate '76, Duke Nukem 3D, Star Wars Dark Forces 1, 2, & Jedi Outcast