I'm not sure which is my absolute favourite, but the list of my favourite video game series include Sonic, Metal Gear, Devil May Cry, Final Fantasy, Disgaea, Legend of Zelda, Pikmin, Mega Man (UK screws me over, as I can only get a few of them here) and that's just off the top of my head.
EDIT: Forgot Kingdom Hearts, whoops. Must of slipped my mind, seeing as I started from the beginning.