Prisoner of Azkaban was my favorite, very closely followed by Half-Blood Prince.
Least favorite: Order of the Phoenix. It was a good book, and I enjoyed it a lot, but I think it was the least enjoyable of the series. Too dark, too long, and Harry was too moody and full of angst. Next least favorite was Chamber of Secrets, but I have never been able to put my finger on why. I just didn't enjoy it as much as the others.
In order:
Prisoner of Azkaban
Half-Blood Prince
Sorcerer's Stone
Goblet of Fire
Chamber of Secrets
Order of the Phoenix