Hmm, my favorite. That's a tough question. I've been collecting for over 11 years, and I've accumulated a lot - maybe not as much as some of the more experienced collectors, but a lot nonetheless.
If I had to pick favorites I'd go with figures that offer sentimental value such as:
My Ultimate GINO Figure, the biggest Godzilla figure I own, which I received from one of my Mom's coworkers when I was a kid along with a hoard of other GINO related items (T-Shirt, Cup holder, Vehicles, etc.) - the happiest moment of my childhood hands down.
Or the Hyper Godzilla 1964 (1999 Release). It may be a small figure, but it was given to me by a close girl friend (who've I had a crush on throughout high school) for my 16th birthday - much to my surprise. Of how I did not end up with her is beyond me!
The DX MechaGodzilla 2004 - When I was living in Denmark, I got to meet former Secretary of State Colin Powell at the US Embassy (where my parents worked) the same day I got this back in 2004. I even had the box with me when I shook his hand.
The X-Plus 25cm Gigan has grown to become a favorite of mine - it's my first X-Plus figure, and buying it was the first time I had to spend over $100 for a single figure.
Finally there is the Jumbo Godzilla 1991, which I consider one of my greatest and more surprising finds in person. I found it displayed in a collectors store in Singapore six years ago. I bought it alongside the Toy's Dream Project Godzilla '75 and Titanosaurus Box Set for a sweet deal just under $100. It was the first time I haggled for a figure(s) without my Dad's help - a great victory in my opinion.
Over time my favorite lists do change based on how much I value a figure over another.