Except for the Raccoon Leaf, Tanooki Suit, and Cape
Agreed to a point, except the fact that other than the mushroom, fire flower, and starman...no power-ups follow from one game to the other.
SMB3 - Raccoon Leaf, Tanooki, Hammer Bro, Frog suits, P-Wing
SMW - Cape Feather
SM64 - Feather Cap, Metal Mario
NSMB - Giant Mushroom, Turtle suit
Mario Galaxy - Bee suit, Ghost Mario, Ice Mario
For the most part they are always contained within their own game. Mini mushroom is one of the few that now have crossed over from NSMB to NSMBWii.
I'm sure it'll be the same for the Penguin suit, propellor Cap, and Ice Flower (although I hope that one stays...I love it.)
So when I say the best of the games, I am not counting the powerups, or I would gripe that the hammer bro suit has been in only one game.