I agree it's a very wide open question so hard to answer. My stash contains everything from the cheapest acrylic to very expensive silk and cashmere -- and I love all of it. Sorta like asking which is your favorite child.
But right now I'm working with some Malabrigo (merino wool) I've had stashed away for awhile, and it's wonderful; unbelievably soft, with absolutely gorgeous colors. So, I guess I'd say that today it's my favorite yarn.
Tomorrow it will be one of the others . . .