...Ouch, tough question. I find it hard to pick a favourite game because I always find my mind flooded by good memories, often seen through the filter of nostalgia, and it's hard to pick the game that made me feel the best; and, of course, that has to be counterbalanced by the enjoyment I took out of the game and my liking for the gameplay.
That said...I call it a tie between Majora's Mask and Mother 3. They're both unique, there are no other games I can compare them too (not even from the same franchise) because they both have such a distinctive vibe. The atmosphere sold me on the former and the latter's plot and characters tore me apart. Despite their respective series and their outer appereance, they have left me with some of the most unsettling moods I've ever been into. It's as though the label "videogame" doesn't fit quite right for them.