I have to admit that my experience with Sega games is fairly limited, since I grew up with a SNES and not a Genesis. Beyond the retro era, I only got to own a Dreamcast for a little while when my cousin lent it to me. I do have a lot of fond memories of playing that Dreamcast though.
Based on that experience, I'd have to say that my choice for favorite Sega game is a toss-up between Shenmue and Power Stone 2. Shenmue was revolutionary in my eyes. It was such a vast, interactive, cinematic experience that I hadn't experienced in video games up until that point.
Power Stone 2 on the other hand was one of the most fun, brawler style fighting games I've ever played. I loved the music and the aesthetic, and just everything about it brings back nostalgic memories.