My favorite is Prisoner of Azkaban. I love how they get to go to Hogsmeade for the first time, and how Harry has to sneak there. I also love that DADA is taught by Lupin, and how Harry first learns to conjure his Patronus. And Gryffindor winning the house Quidditch cup was totally jokes!
Deathly Hallows. It was the grand finale of the series and I was on edge through the entire book. Harry and co. didn't attend school so I thought that was awesome....not that skipping school is good, mind you, just them dealing with stuff on their own and out of the school environment. Also I thought the end battle kicked ass. The book was so emotional, probably the more so than any other book I've read.
Fun fact: Chamber of Secrets scared the crap out of me. Apparently I was way too into the book and when Harry was walking in the chamber, I was hyperventilating and freaking out completely. Weird. XD
I think Goblet of Fire was my favorite. It was the start of Voldemort's return, so there was plenty of drama, but Harry wasn't as pissy as he was in 5, 6, & 7. And I really liked seeing some of the international wizard community. And J.K. hadn't killed off boatloads of characters yet. And there was Rita Skeeter - I love to hate her. And...
I really enjoyed the book and the death made me really emotional.
There was a shift with this book, I believe. You get to see the death eaters wreaking havoc on a large scale, not just in Hogwarts. I mean, other things happen in series up to that point so that you know that there are attacks (etc) happening outside of Hogwarts, but you don't see it effecting so many people until this book.
All the different students being there when Cedric was killed was also important, as many were unaware of how serious the Death Eater threat had become. The fact that the threat didn't stop after Cedric died was great as well. Harry now knows that he must have constant vigilance even in mourning, the threats will not stop for anyone. Not that it helps as much as it should, as Harry is a stubborn boy, hah.
The book really helped push into your mind that the Death Eaters are a global threat, not just for England, not just for Hogwarts, and not just for Harry. Albeit, more for Harry than most, obviously, but the danger was elevated in this book, and I thought it was great all around.
I think my favorite is Prisoner of Azkaban because...
1. it was after this book when I fell in love with the series
2. all the time travel stuff was so fun to read
3. Lupin is one of my favorite characters
BUT they are all totally jokes and I love all 7 with all my heart!