I as a big fan of Waluigi have to say:
He is not part of the Wario series, but rather part of the Mario-spinoffs.
I mean he hasn't been in any other game other than that (SSBB doesn't count here).
I am still in for a "Wario Bros." game, where you can actually play as Wario and Waluigi who are hunting for loot, but in a fun way (see the intro of Mario Power Tenis GC, fun like that).
I personally had a really hard time with beating most of the bosses in Wario Land 4 the first time around, so I was asking myself:
"What is the ultimate hardest WL4 boss?"
I think it is either Cractus or the Cuckoo Condor for me, because I nearly ragequit the game at both fights. I don't know...
It's hard to explain. It was mainly it's diversity, and metroidvania styled levels that appealed to me I think.
WL2 and WL4 were both more straightforward. I think it just gave you more liberties.
I'll have to go with Wario Land III.
Maybe because it was the first game of the series I've played, but it definatly did certain things right that neither of the prequels nor Wario Land 4 did.
Besides that, I've never played Shake it! nor Virtual Boy Wario Land.