Here's how I feel.
I don't really have a favorite, per se, since the big thing I like about Star Wars is the whole Anakin Skywalker story. As such, I think the only way I can fully appreciate the entire story is with all six episodes, and leaving any one of them out would make the story incomplete. Each film depicts a stage in Anakin's life.
TPM - His troubled youth (as a slave) and dreams of a better life (as a Jedi).
AOTC - His better life ruined by a terrible loss (his mother) and his attempt to make things better (marrying Padme).
Ep 3 - His fall to the Dark Side.
ANH - His complete surrender to the Dark Side (Killing Obi-Wan) and a glimpse of hope for his redemption (Luke).
ESB - His rise in the Dark Side and attempt to seduce his son (to rule the galaxy as father and son).
ROTJ - His inner conflict coming to the surface, his redemption (defying the Emperor and killing him) , and bringing balance to the Force (destroying the Sith).
I could go into it a lot more, but I don't want to bore you.
I guess if I had to choose, it would have to be the second half of Jedi when Vader has to decide between his Master and his son, but the power of that moment is nothing without the buildup.