My Favorite Game Engines
2D
Cocos2D for iPhone
Pros: Works and Feature-Rich. Multiple physics options (Box2D or Chipmunk2D). Okay particle engine.
Cons: Not Cross-Platform
TGB
Pros: GUI and Cross-Platform and Feature-Rich. Really nice graphical approach to 2D game development and the "Behaviors" approach. Good collision and 2D physics. Very nice particle engine.
Cons: TorqueScript is a little odd but can be redeemed if using Torsion on the PC (only).
3D
TGE
Pros: In-Game Editor, Cross-Platform, C++ and Source Code available! Easy (for C++ folks) to extend the engine. GUI is okay in the in-game editor and possible to extend (make really fancy!) if you don't mind modifying the engine.
Cons: Limited Terrain, Buggy Interior Editor (some folks can use it but, personally I've had troubles with Constructor creating caves, tunnels and organic BSPs) and weak AI features.
Unity 3D
Pros: Nice In-Game Editor, Testing and Asset Management. Choice of 3 script languages. Tool works on Mac and PC. Can create Mac, PC and iPhone (iPod Touch) games. Very nice documentation, tutorials and support. Free to play with! Solid.
Cons: Unknown source cost. Script only and this is a con as well as a pro:choice of script languages. In some ways it would have been better to just have one language completely supported instead of 3. Kind of expensive for iPhone development if you are an independent.
UT3
Pros: Nice In-Game Tools including AI, Triggers, Physics, Path and Bounds as well as great Asset Management. Incredible tool for creating additive BSP geometry combined with meshes. Kismet is amazing.
Cons: Currently not capable of porting to the iPhone though this seems to be about to change soon.