I play my fair share of retro games, but I'm more of a Sega guy myself. I love the old Sonic the Hedgehog games and Kid Chameleon may be one of the most challenging console games I have ever played. Of course, I've never played the likes of Battletoads or Mike Tyson's Punch-Out, both of which I'm thinking of trying soon.
But right now, I'm playing some PS3 games mostly. Naughty Dog has some great games in the Uncharted series and their new game The Last of Us. I've also recently gotten back into LittleBIGPlanet.