I can't really choose a favorite, in all honesty it depends on the game type.
For older controllers and games, I am loving the SNES controller, thus why I still have my SNES and I play Kirby's Dreamland 3 on it a lot (WHERE THE FUCK DID MY SUPER STAR GO TO?!). Plus, I like playing Legend of Zelda and Super Mario World using an SNES controller than most others.
For RPGs and many other kinds of games, I like the versatile Playstaion Controller. I say playstation because all have retained the same feel, the exception be the PS3's modified L2 and R2 buttons, but it isn't too bad, in fact it could be considered an improvement.
For a lot of First Person Shooters that are based on Death Match mode, I like the trusty Big Duke. For those of you who don't know what that is, it's the original controller for the XBox. I prefer the Duke because it has a much more natural feel for playing FPS games for me, and that my hands are fairly large, so I can opperate the entire controller with little to no problems.
I play DDR, so Dance Pad, nuff said. My prefered dance pad: Must be metal with the back bar, and should be either bolted or weighed to the ground, because I abuse the bar sometimes and I don't wanna land of my face after playing TLoM because I leaned on the bar...
An overall favorite though is tough, but I'd have to make it a tie between the PS and SNES controllers.