Don't know if I'd have one I'd call a favorite, but some I still hold dearly years after having completed them are Starbound, Ultimate Ninja 5, Dissidia 012, the first Devil May Cry, and Va-11 Hall-A.

Starbound due to its execution of sandboxing. Ultimate Ninja 5 and Dissidia 012 for how sharp their combats feel, despite being very fast-paced arena fighters without being musou or hack and slashes. DMC 1 for showing a genre of horror that didn't require jumpscares to feel oppressive and tense (reminds me I should play Resident Evil at some point, since DMC was a recycled RE project). And Va-11 Hall-A for showing I may have had several biases towards certain game genres (hated visual novels back then), and got me to change my mentality to "first I'll try a given game out, whichever it may be, then decide if I like it or not".