The ending to the first game, as the stork carries the Baby Mario Bros. to their home and the part where their parents are holding them with the text saying "Our heroes are born!", which ends with a nice little remix of the Stage Clear fanfare from the original Super Mario Bros. It's sweet since it's not really an ending but rather a beginning to the story of the Super Mario Bros.
Baby Yoshi hatching from his egg at the end of Yoshi's Island DS.
Baby Bowser joining the group for a few levels in DS. Remember at the end of the original game he wasn't evil (yet), he was just a noisy brat who was demanding a ride on Yoshi. Now he finally gets his wish.
A message box in World 3-2 of the original game reads, "We, the Mario team poured our hearts and souls into creating this game for your entertainment. It is full of secrets. Enjoy!"
For a rather cute little Easter Egg, throw an egg at Poochy and he'll play with it like a ball.