This was difficult for me... I played and liked them all.
I loved Arena because playing an invisible, fireball-toting wall smasher rocked (worried about those mighty undead? Well, tear down the walls to circumvent them).
I loved Daggerfall for being able to buy houses and ships, I loved to hate the Iliac Bay politics, and I loved how it gave an answer as to why the Dwemer had gone missing (
).
I loved Battlespire for its portayal of Oblivion and its inhabitants, especially Imago Storm.
I loved Redguard for the tons of stilted dialog.
I loved Morrowind for the mild yet comforting world weirdness, for being able to invest hours in interior decoration and collecting light sources to illuminate my mansion.
And finally, I loved Oblivion because of the Imperial City guard detail, especially Cpt. Fanatic and Cpt. Straight Edge - these guys were hilarious.
What I didn't like about...
...Arena: all the places looked exactly the same. The world was huge, but it hadn#t been necessary. Besides, you couldn't travel the regular way and actually reach your destination.
...Daggerfall: The bugs. Well, my version already came with a 20 MB bugfix, but trying to explore dungeons without activated debugging keys was still suicidal.
...Battlespire: Once again, the bugs. How often did I have to repeat a level because some glyph didn't spawn? *shrugs*
...Reguard: that it was so easy to ruin the game by doing things out of sequence. Plus the 3rd person-exclusive perspective.
...Morrowind: that it was so easy to lose accompanying NPC due to mediocre pathfinding and worse AI.
...Oblivion: that it was too High Fantasy for my taste. Level scaling (though Tribunal had done this before). Psychic guards. And worst of all: no collectible light sources! Interior decoration was a real drag.
So when it came down to pick my least favorite, I'd say 'Redguard', but since this poll is about favorites... this is difficult.
Well, it took me 7 months to finish the Daggerfall main campaign, but I spent 18 months on Morrowind plus expansions (roughly 12 without expansions), and not because I got bored enough to play other games in between. So I vote for Morrowind.