Donkey Kong Jr. was the direct sequel to Donkey Kong (arcade game). Mario had captured your father, Donkey Kong. It was your job, as Donkey Kong Jr. to save your father from Mario.
Donkey Kong Jr. never enjoyed the sales or the following that the original Donkey Kong did, but it did well enough to warrant a third sequel, Donkey Kong 3.
Donkey Kong Jr. introduced it's titlar character, Donkey Kong Jr. and is the only game to feature Mario as a villian.