I play Go online and have by now quite a few sgf's of past games available which I could review. I'm however lazy so I certainly wont review all or even most of them. So which ones can I learn the most from reviewing? Ones against stronger players or against weaker ones? The ones I lost or the ones I won?
TimK highlighted the most important aspects already. I would put some additional emphasis on two things:
First, games which featured a shape that was of particular interest to you. Maybe some unusual corner sequence? Or a tsumego that went really strange in the game? Have a look. This even applies to blitz games.
Secondly, games in which you do not know why you lost
Those are particularly interesting. After fuseki (for instance), you honestly think you did okay, but the game has a bad feeling to it, and you notice how your opponent has so many nice moves available, while you somehow see no good moves for yourself! How could this happen?
Typically, these games show a flaw in your internal thought process and basic understanding of the game. Review those with a (much) stronger player. Now two things can happen.
Either his ideas will hit you and you suddenly get it. That's nice, you should remember the issue he explained.
Or, you will regard his advice as only so-so, not bad but also not particularly good - and this shows exactly what is wrong with your thought process. It means you lack correct judgement in a particular area. Try to grasp his ideas and appreciate them until you incorporate them in your thought process. This means your general understanding of the game will increase, which is the topmost important obstacle when you 'hit a wall' in improving.
You should review games where you really put some thought into your moves. If you play a quick game without thinking much, the mistakes you find will just be oversights and carelessness. If you review games you've spent some time on, or better yet have a stronger player review them, then the mistakes are more likely to be real holes in your knowledge, or moves that were smaller than you thought.