1.  PCE (fully equipped) - I haven't had this one for very long, but I already have more games for it then anything else.  I keep finding 
more and more games I want.  Every day I seem to find something new, like I'm digging in Santa's magic sack.
2.  Saturn - I love this thing, so many good memories.  Still actively buy games, but I have a shopping list, and its all I want to buy.
3.  Genesis/CD/32X - The console I grew up with.  Many great games, but there's not much more for me to discover with it.  
I have what I want and thats it.
4.  NES - Great system.  Personally I find Nintendo has gotten weaker and weaker.  Only system of theirs I actually like.
5.  PS2 - PS2+PS1=many great games.
Honorable mentions belong to the NeoGeo AES (for its raw power), and PC-FX (for its sex appeal)