I just really couldn't get into Street Fighter III. First off, the cast of returning characters... we only had Ryu and Ken in New Generation, with Akuma making it to Second Impact and finally we get Chun-Li in Third Strike. That's right! No Blanka or Fei Long, two of my mains in Street Fighter IV. Therefore, I usually choose Ken and even then I don't like playing him much. When we had the Street Fighter Anniversary Collection for the Xbox, I always preferred Hyper Street Fighter II over Street Fighter III. Let's not even get started on these two dudes wearing a "thong".
As for Street Fighter Alpha, well it was probably one of my first exposures to the wonderful Darkstalkers sprite style. Too bad I wasn't too fond of it either. I mostly played Street Fighter Alpha 2, and almost never the arcade version of 3, even though an arcade (out of the very very few that I can find where I live) that used to be located at a mall had 3. Love that character select screen music in 1 & 2. My favorite character to play in Alpha 2 was Charlie.
Street Fighter IV... oh boy Street Fighter IV... haven't played Street Fighter EX but welcome to the realm of 3D graphics! I just find them goofy for the most part. Zangief was really annoying to deal with, but at the same time the cartoony SPD move makes me laugh. Hate to say it but I slightly prefer it over Street Fighter III. Seth doesn't take me as many tries to beat.
So yeah, my favorite Street Fighter games have to be WW, S, HSF2, Alpha 2.