I don't know about a single favorite. Like most, I've seen so many, and nowhere near all.
Comedy:
Spinal Tap. The first time I saw this we had to keep stopping the movie because we were literally crying with laughter. It's a masterpiece.
Noises Off! This is a movie about a stage play, which happens to be a farce. If you're into farces and that type of humor, it's a winner. It has Michael Caine and a Christopher Reeves performance before his terrible accident among others.
Planes, Trains, and Automobiles. This one tickles my funny bone too. Mainstream humor that really works.
Woody Allen. His early movies are just great. Special mention to Bananas, Play it Again Sam, and Sleeper.
Mystery Men. A super hero movie that has become our Rocky Horror Picture Show. My wife and I know all the dialog and play along with the actors. Just great fun.
Drama
Paris Texas. A hugely powerful movie, enhanced by an incredible soundtrack. Nastassja Kinski plays one of the leads, and she's simply beautiful.
Crash. They said Ballard's novel was unfilmable, but Cronenberg proved them wrong.
Sci Fi
Alien. Saw this during its first theatrical run and was blown away. Still love it today.
The Thing. This version from the 1950's is my favorite, although I think a lot of people enjoy the remake more. Tbf, Carpenters effort is incredible too!
Horror
Universal Monsters. That is the entire slew of horror movies from the 1930's through the 1940's. Karloff, Lugosi, Reins, etc. They're magic.
Videodrome. Another Cronenberg movie. This time he's dealing with the effects of TV on the minds of the viewers, and how they mesh.
Cat People. This is for the remake in the 1980's. Again, Nastassja Kinski is the lead, and she was a Goddess at this point. It's a great film.
Horror