NES
Donkey kong -His first appearance and the first ever platform game!
Mario Bros
Super Mario Bros1 -The first ever scrolling Platform game
Super Mario Bros 2 (Jap vers)(aka The Lost Levels)
Super Mario Bros 2 (Pal version)
Super Mario Bros 3 (Best game equal with Snake Rattle n' Roll (Rare) on Nes, in my opinion)
Yoshi's Cookie
Mario is Missing
Punch out (referee)
SNES
Super Mario Land
Super Mario Land 2 (Not the main Character, but rides around as baby Mario on Yoshi's back)
Super Mario RPG
Stunt Race FX (on a Bill-board)
Mario Paint
Super Mario All-Stars (smb1,2,3 and lost levels from NES with better graphics)
Super Mario Kart
Mario is Missing
GB
Super Mario Land
Super Mario Land 2
Super Mario Land 3 (Wario Land) (In the last cut-scene)
Mario Golf
Tennis (as the Umpire)
F-1 (In a cut-scene)
Mario and Yoshi
Dr Mario
N64
Super Mario 64 (first fully 3-d platform game)
Super Mario Golf
Mario Kart 64
Smash Brothers (Mario in a fighting game)
Mario Party
Mario Party2
Mario Story- the paper trail
Mario Tennis 64
Zelda 64 (Some pics off the "Mario Gang" in the Castle

Spin-Off Characters in other Games
(No DK Games listed -Mario is a spin-off of DK)
Wario Land (GB)
Wario Land 2 (GB)
Wario Land 3 (GB)
Goomba's in Zelda 4 (GB)
Yoshi's Valley (Super Mario Land2) (SNES)
Yoshi's Story (N64)