Some of my favorites (in no particular order):
In terms of graphics, definitely Fatal Run. Makes sense considering the game uses bank-switching to get 32K of ROM, and IIRC is the only 2600 game to do so. It's also a pretty fun game too!
Some of my other favorites include RealSports Volleyball, International Soccer, Frogs and Flies, Raiders of the Lost Ark, and of course the obvious classics like both Pitfall games, Space Invaders, Donkey Kong, etc...
One final mention, Miniature Golf (there goes all of my credibility...) Graphically it's obviously not that great, but there's something I find oddly charming about its gameplay.