For me there's not really any individual game that is my favorite. I can however narrow it down to 3 series. All 3 of these series have evoked emotion in me like no others have as well as causing a great deal of self reflection while still being games that are fun to play.
In no particular order:
Devil May Cry
Kingdom Hearts
God of War
I could talk for days about how much I love these games and I still don't think I could accurately convey how I feel about them. It's like they're a piece of me, and if they were to be suddenly ripped from my memories, forever lost, I would lose a piece of myself and be lesser for it.