Just beat the Devil for the first time. This game is incredible! It's rare for a game to make me so deeply happy.
Favorite levels would have to be Phantom Express (ghost train), Grim Matchstick (dragon), Dr. Kahl's Robot, along with Perilous Piers and Rugged Ridge from the run and guns. It's so satisfying when you figure out what tactics to use.
The one boss I hate is Rumor Honeybottoms (the bee). I halfway believe they put her in to avoid making the dreaded "perfect" game. All the things every other level does right, she does wrong. Randomized, unpredictable platforms that have a huge effect on how you play it. Characters and projectiles easily go off screen leaving you blind. And while she is very difficult when you try to learn how to survive in each stage, you can get a cheap, unsatisfying win by killing her before the last stage has a chance to do anything.
But my god. Every single other level. Also, pictures don't do it justice. It's a one of a kind experience to play.