Super Mario World's less linear level progression and secrets (alternate goals, hidden levels, switch palaces, different colored Yoshis, alternate routes, and Star and Special worlds) give it a depth as a game that I feel SMB3 lacks.
However, the cape and Yoshi tend to make non-Castle/Ghost House SMW levels much too easy. In SMB3, there was a better offensive balance of the power-ups (helped by the severe rarity of P-Wings and Hammer Bros. suits)
Zim: "I thought the Tallest killed you."
Skoodge "Yeah, but I'm all right now."
Mad Jack the Pirate: "You were DEAD! How do you get better from being DEAD, you Scottish twit?!??"