I download a lot of games, but here are some of my favorites:

XBLA:
- 'Splosion Man
- Limbo
- The Maw
- Alien Hominid

XBLA and PSN:
- Castle Crashers
- Bionic Commando: ReArmed

PSN:
- Pixeljunk series
- Soldner X
- Castlevania: Symphony of the Night
- Marvel vs Capcom 2

XBLA, PSN, and WiiWare:
- Mega Man 9 and 10

WiiWare:
- Bit. Trip series (Core and Beat in particular)
- Cave Story
- ReBirth series
- Lost Winds 1 and 2

Virtual Console:
- Donkey Kong Country games
- Any Zelda (particularly Zelda 2 and Majora's Mask)
- Pretty much any Mario game
- Gunstar Heroes
- Kid Icarus
- Sin and Punishment
- Star Tropics
- Super Metroid

There are also a ton of steam games I could list, but I'll stop now for sake of brevity.