They were all great and memorable. But out of everything the final level was my favorite. It was very challenging, had alot of nostalgia, and offered many new surprises and gameplay elements as well (every level is like that though, I guess I just like finales).
Bowser's Castle at the end was great, but I loved that one level---I think it was 8-8---where you had to dodge the falling magma rocks and the 'dark' Bob-ombs. That was nuts, and the music was great too.
Also the boss of world 7, and the world 4 level with the multiple giant eels.
7-3 was fun.
Bowser's Castle had my favorite thing in the game: Boss fight.
4- Castle was fun. It had the most memoriable Boss fight: After Twenty years of Squashing little Goombas, you come face to face with one big enough to squash you.
Probably the 2nd last castle (the normal one in World 8) because Bowser actually looked scary then. And my favorite Multiplayer arena/course was the one designed like a castle. My friend and I kept getting stuck in this little area, jumping on each other, and watching all our Big Stars go into the wall and disappear. It took us like 15 minutes to finish once, since we were doing 10 Stars.