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Even though the original The Legend of Zelda was the first Zelda game that I played and tried to beat over a couple of rentals, it is not my favorite Zelda. That honor goes to The Legend of Zelda: A Link to the Past. Link's Awakening (GB version) is a darn close second.
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The first Final Fantasy game that I played was the first Final Fantasy game for the NES. But, it is not my favorite. As much as I would like to say Final Fantasy IV is my favorite (since I just did a playthrough of the SFC/SNES version), that goes to Final Fantasy VI.
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It's a bit harder to nail down my favorite Super Mario game, as Super Mario Bros was the first Super Mario game that I played. I loved the aesthetics of SMB2 (US) but there was something special about SMB3 and Super Mario World. I'll give it to SMB3 for variety and clean design.
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For Mega Man games, Mega Man 2 was the first one that I played, then Mega Man 3 and then the first Mega Man (yes, the box art kept me away from trying it until after I got MM3). Sorry MM2 fans, but MM3 just barely edges out MM2, warts and all. And, there were a lot of warts.
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For the Street Fighter series of games, the original arcade version of SF2: The World Warrior was the first one that I played. My favorite version, though, is SF2: Champion Edition. Updated art and that I could play as bosses. Turbo was too hectic for me, to be honest.
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Super Street Fighter 2 was good and up there with SF2:CE; but, outside of the 4 additional characters, it didn't add enough for me it to be at the same level as SF2:CE The artwork created around the game was great but extra stage animations were distracting.