Fast, difficult, best in series.
F-Zero places all of its emphasis on speed and precision. You want to go as fast as you can cutting corners as closely as you can. With as simple as a philosophy as this is, the tricky track design and just because of how fast you get going, there's still a dramatic learning curve between novice and master.
Nearly every track has something memorable or likable about it; even the final course, which is just an oval, is an incredibly fun track to race on. With such a simple course you are free to try and be as precise as you possibly can.
However, one of the best things about F-Zero GX in particular is the fact that even after you've mastered the game, there are a whole slew of advanced techniques which exploit some aspect of the game engine. While this may initially seem like a bad thing, these exploits require a very large amount of skill to perform and in doing so, add a lot of depth to a game you would have otherwise mastered.
Really, that's the absolute best thing about F-Zero. Unlike Mario Kart where an amazing player is only a few seconds ahead of a great player, F-Zero pushes that up about 20 seconds, and every second is worked hard for.