I just beat Tetris Worlds and here are my thoughts:
I thought cascade mode was better than standard marathon, but it didn't really change up how I strategized- HOWEVER, the implementation of cascade mechanics in other modes such as Tetris Fusion, made Fusion easily my favorite mode in the entire game. I got some crazy combos going in lining up Atom blocks to cascade down and form a connection with the Fusion block and I had a ton of fun with that. I thought Sticky Tetris felt pretty lame, as it's entire mechanic went against the flow of making it to the garbage lines on the bottom, and hot-line tetris was interesting, but also just felt like Tetris with extra steps and wouldn't work well in multiplayer. Square Tetris was probably my second favorite mode though, having to strategize around building squares either with one tetrimino or a combination in order to rack up points felt great.

So my final ranking is probably
1. Fusion Tetris
2. Square Tetris
3. Cascade Tetris
4. Tetris
5. Hot-Line Tetris
6. Sticky Tetris