Personally, my favorite is Klonoa: Door to Phantomile. Klonoa 2: Lunatea's Veil may arguably have better gameplay and more difficulty, as well as replay value, but there's something about Door to Phantomile that just feels magical and adventurous. I'm sure it's partially due to nostalgia and the heart wrenching ending, but overall I just have a preference for the first game. The Gameboy games are a lot of fun, but they really can't compete with the console Klonoa games, in my opinion. As for Heroes, I attempted to play it, but then quit after the second level to play another game, so I never have returned to it, so I can't really base an opinion on it.
I purposefully did not include Beach Volleyball, since I am fairly certain that nobody would vote for it. If I was incorrect, let me know in the comments.