I'm partial to The Two Towers because Helms Deep is amazing and it blew my 9 year old mind when I saw it in theaters. But they're all fantastic movies.
Tried to think of a "favorite" and just can't. They all blew my little mind in equivalent ways. Fellowship is such an amazing start to the trilogy. Towers has Helms Deep and everything else. And Return is a mind blowing finale. They're all so goooood.