Hmm. Interesting. I'm not sure I've played a game from every letter of the alphabet in my collection but let's try anyways.
(I'm going to assume we're not counting anything starting with a "The" as a T) How about a little teeny bit of commentary while we're at it? It's interesting to see what everyone likes, but a little bit more than "hey guys I like these!" every now and again would be nice.
# -
007: NightFire (GCN)
A -
Animal Crossing: New Leaf (3DS)
B -
Bulletstorm (PS3) <- It would be
Banjo Kazooie (N64) if I had a copy.
C -
Corpse Party (PSP) <- The most genuinely creepy horror game I've played.
D -
Disgaea D2: A Brighter Darkness (PS3) <- The best letter of the alphabet for games right here.
E -
Etrian Odyssey IV: Legends of the Titan (3DS) <- Mine would be
Earthbound (SNES) if I actually had a copy.
F -
Fire Emblem: Radiant Dawn (Wii) <- Also my favorite Wii game and probably my favorite
Fire EmblemG -
Guilty Gear XX Accent Core Plus (Wii)
H -
Hatsune Miku: Project DIVA f (PS Vita)
I -
Ice Hockey (NES) <- For something rather simple, it's among my favorite games to play with a friend.
J -
JoJo's Bizarre Adventure: All-Star Battle (PS3) <- The only 'J' in my collection, but a fantastic game nonetheless.
K -
Kirby: Nightmare in Dream Land (GBA) <- An excellent remake of an NES classic.
L -
The Legend of Zelda: Ocarina of Time (N64) <- Maybe it might be a tad overrated, but it's my favorite regardless.
M -
Metal Gear Solid 3: Snake Eater HD (PS3) <- Another fantastic letter for of the alphabet for games.
N -
Ni no Kuni (PS3) <- As much as the ally AI still bugs me and even though I haven't finished it yet, I must admit it is the best of the 'N's in my collection.
O -
Ontamarama (DS) <- I'm going to assume compilations like
The Orange Box don't count, unless we're counting one game in the compilation.
P -
Persona 4 Golden (PS Vita)
Q -
Quantum Theory (PS3) is the only 'Q' game I own, but I haven't even played it so it doesn't really count.
R -
Rune Factory 4 (3DS)
S -
Shin Megami Tensei: Persona 3 Portable (PSP) <- Another really tough choice with so many amazing 'S' games I feel like I'm leaving out by just choosing one.
T -
Tales of Symphonia HD (PS3) <- The first
Tales game I ever played and still my personal favorite.
U -
Uncharted: Drake's Fortune (PS3)
V -
Viewtiful Joe (GCN)
W -
Wario Land Shake It! (Wii) <- An amazing game with an amazing art style.
X -
Xevious (NES) <- As simple as it is in comparison to newer games in its genre (which it helped define), it's still fantastic to this day.
Y -
Yoshi's Island: Super Mario Advance 3 (GBA)
Z -
Zack & Wiki: Quest for Barbaros' Treasure (Wii) is the only 'Z' game I own, but I haven't played it yet so it unfortunately doesn't really count.