I dunno, I like Soul Calibur (or used to) because of the close-up, brutal weapon-fighting with knights and martial artists, but I think if I played Guilty Gear or BlazBlue those would probably be my favourite. Smash Bros. should be up there too, although it isn't a proper fighting game it is pretty good, I rather like it.
Bloody Roar is kind of fun, as a series, but I've never ever liked Mortal Kombat or Street Fighter. Too little variation, too much emphasis on "balance" rather than fun, and the characters just being boring. Then again, they were the early ones, but I'm annoyed they didn't evolve in any way since they first came out.