If you'd ask me what is my favorite, I probably won't give any proper answer, because there's so many of them I can't name one which does absolutely anything. Still, if I was to name some favorites, that will be:

I'm too busy (translation: lazy) to do Lunatics, but I 1CC all games up to WBaWC. I also like Touhou fan-games, and wish to make my own one day.
Favourite games: EoSD, IN, DDC.
Favourite characters: Patchouli, Reimu, Alice, Sakuya, Remilia, Yukari, Satori.
Favourite fan-games: Remidoki, New Super Marisa Land, Enchanting Swordplay Reverie.

I don't know how much time I sinked in WON version of HL1, it's probably as much as time I clocked in TF2. I LOVE that game. Gameplay, graphics, style, weapons, monsters, it's probably closest to perfect game. Addons, HL2 and Episodes were excellent too, but still, nothing topped original for me.
Favourite HL1 mods: Heart of Evil, Peaces Like Us, Cthulhu, USS Darkstar.
Favourite HL2 mods: Mistake of Pythagoras, SMOD, Gstring.

I was a MegaDrive kid, so obviously, I played Sonic alot. I like his games whole lot, as well as comics, cartoons and all other materials there are online.
Favourite games: Sonic 3 & Knuckles, Sonic CD, Sonic Adventure.
Favourite characters: Knuckles, Rouge, Dr. Robotnik, Metal Sonic.

Especially Zero subseries. They were my first, and to that day I see them as best games in whole franchise. I completed almost everything with Megaman in it's title, with notable omissions being Battle Network and Starforce series. Should play them too though.
Favourite games: Megaman Zero 3, Megaman X, Megaman ZX Advent.
Favourite bosses: Yellow Devil, Shadow Devil, Omega.
Favourite characters: Ciel, Zero, Fairy Leviathan, Pandora.

I don't know. I just love them. Playing new Neptune game is just so... Nice? I love and care about Nep and her friends alot, and just seeing them go on adventures makes me feel all warm and fuzzy inside.
Favourite characters: Neptune, Pururut, Blanc.
Favourite villains: Magikonne, Rei, Anonydeath.

Last on that list, but not the least. It's bit hard to talk about DR, since it's best to dive in unprepared, so... I like them a whole lot!
Favourite characters: Kyoko, Touko, Chihiro, Mikan, Peko, Monaca, Monokuma, Junko.
Favourite executions: After School Lesson, One Woman Army.