The following levels in New Super Mario Bros. can be beaten in a single blue shell dash (the dashing starts at the beginning of the level; entering pipes/doors is acceptable as long as the dash takes you right to the pipe/door and you resume dashing when you come out of the pipe/door):

1-2
2-1
2-2
5-1
7-5
8-4

The following levels would've been on the previous list if it weren't for some annoying thing like that staircase that appears at the end of a lot of levels and make it impossible to cross one little spot:

1-1
1-t
1-4
5-g

The following levels have some parts that can be cleared that way, but the entire level can't be:

2-3
4-1
4-g

These are impossible:

3-1
6-6
7-4
7-7

t = tower
g = ghost house
c = castle
e = the castle at the end of the game