Since this topic is more to the point than the other (which is probably unrevivable), I won't wall of text it.
Directly answering the questions, I can say I've played all of them except for Return to DL, which is on the "to buy when affordable" list. My favorites typically and unsurprising come from the pre-anime era. Too many paradigm shifts since then that I just can't get behind. Not to say I don't like any, Mass Attack was a welcome surprise, Canvas Curse was good fun, Epic Yarn, from what I've played through so far, is a nifty gimmick, and Air Ride has ridiculous replay value (and is one of my top favorites). But then you've got travesties like Squeak Squad... I don't really know if Sakurai's departure was an asset or a liability at times.
The game I have the warmest sympathies/nostalgia for is Dream Land 2, but I can't say I'd nail it as my all time favorite. That status is forever fluctuating anyway. Dream Course easily tops it, after all.
My favorite ability in theory is Crash, but in actual gameplay is Tornado. Favorite combo in DL2 is Kine + Spark without competition. It's harder to pick from DL3 and 64, though, though I'm amused at the series earliest pure water attack in the form of Pitch + Clean. Conceptually, I like Burning2 from 64, but it's too slow. Rock + Cutter with the Pitch statue gives the game some of the speed it's missing.
My favorite characters are pre-anime (possibly pre-Sakurai's departure) Kirby, Kine, Coo and Rick. Dunno why so much for the latter 3, just because I can, and I trust them more than Waddle Dee, Dedede and Meta Knight who all seem to have ulterior motives while not being antagonistic today at best. Heck, I trust Gooey more and he's the spawn of an eldritch abomination.
Kirby's easier to spot his personality shift, but you'd have to have been paying more than passive "I just want to play the darn game" attention to notice. To say the least, it's an annoying change I could do without.
ETA: R.F.'s post reminds me that to this day, my favorite soundtrack remains Star Stacker. Everything about that game is underrated, sometimes to a frustrating degree. -_-; Insane mode, though. I never thought that would end, but the music's great. While I'm here, Dream Course has a great soundtrack too, and I'm a fan of the electro/techno influence the series adopted starting from Block Ball (more obvious in Dream Land 3). DL2 also has underrated gems.