I can't pick a favourite, but the game I spent the most time on was probably Pokemon Platinum. It was a nice step up from Diamond and Pearl, plus it offered a much improved post-game as well.
Magician's Quest: The Merchant's store of Sorcery.
It was really fun owning my own shop but since the game was JP only, it was really difficult for me to understand since I didn't learn Japanese yet xD So I used my sister to help me lol.
It's so difficult to pick just one. My top three would probably be Radiant Historia, 999: 9 Hours 9 Persons 9 Doors, and Ghost Trick: Phantom Detective.
Probably Pokemon HeartGold. I'm a little ashamed to say that my handheld consoles are mostly used for Pokemon games, so I've really just scratched the surface of the large library the DS had to offer.