Sega Megadrive is probably the greatest retro console for me I reckon. I had a Sega Master System before that and a ZX Spectrum 128k before that. The Speccy had a very limited, near monochrome colour pallet and very basic sound (although some clever people managed to get some incredible music out of it back in the day) and most (not all though) of the game ran super slowly. Most of the arcade ports were about as stripped back from the originals as you could get (although, again, there were some clever coders who managed absolute miracles with decent ports of stuff like R-Type, Chase HQ and Bubble Bobble).
I had to save up my pocket money to put towards half the cost of the Master System for one of my birthdays and it was a massive step up from the Spectrum with it's full colour games and considerably faster looking graphics, but still nowhere close to the arcade games they were based on.
Then I got a Megadrive for Christmas when they first launched here in the UK. I once again had to save up my pocket money to put towards half of it and sell the Master System to one of my mates (although in the end, my Dad very kindly paid for well over half, so I could spend the money on some games). One of the very first games I got on the Megadrive was Revenge of Shinobi, and holy shitballs if that game didn't just absolutely blow my teenage mind away when that awesome animated intro kicked in for the first time along with the equally awesome Yuzo Koshiro soundtrack. In game, it looked incredible too, with all it's layers of parallax scrolling and huge (compared to the SMS and Spectrum at any rate) game sprites. It finally felt like I was playing something of the same graphical and audio quality from the arcade at home. I was similarly blown away by other early MD stuff like Super Hang-On, Golden Axe and Truxton. Later stuff like Streets of Rage 2, Streetfighter 2: Special Championship Edition and Thunderforce 3 and 4 just added further to the sense of wonderment. Plus the console itself looked sexy. It was an ergonomic delight with a bonus 3.5mm headphone jack, so you could plug the console intro your Hi-Fi if you had a stereo Y cable and really drive your parents mental. Ahhh, good times. For these reasons, that sense of finally capturing something that felt so close to the arcade in my bedroom, I think the Megadrive will always be my favourite retro system.