Although I do like The Deathly hallows, Half Blood Prince takes the cake. The tale of Tom Riddle's past, Slughorn, Felix Felicis, Draco's reluctance to join the dark side and Dumbledore's ultimate demise is very enthralling. Prisoner of Azkaban takes a sweet third place.
Prisoner of Azkaban was my favorite for that one shining moment of hope for Harry, that he could live with someone who knew his parents, loved them, and loves him. The hope was dashed too quickly though, I cried harder when Sirius died (in order of the Phoenix) than I did when Dumbledore died.