Genshiken was pretty funny, though it got kind of stale.

Full Metal Panic is probably one of the best I've seen. Comedy and action= win

GTO: didn't like the ending. I hate it when there's no closure to an anime.

Shingetsutan Tsukihime: Probably one of the first anime's which made me care about anime characters and their developments.

Vision of Escaflowne Movie: Epic and good music to boot.

I haven't watched much in comparison to others, but what I have watched is pretty good I think.
I don't have a favorite, but tend to like anime's with some character development (and little or no fillers dammit).