Super Metroid - the atmosphere in the beginning of the game was something else when I started it the first time. The rain, the music… As a kid I was just mesmerized.
Gradius - being too fast is not always the best.
Factorio - planning goes a long way. Even if you think you planned for enough space for your construction it will never be enough as you probably need to make it larger later on.
Gradius or Super Mario Bros. Not sure.