My favourite is Electric Sheep because... wait, what! What black magic fuckery is this?
Alright, it probably is, although my favourite anything can change with my mood, I am a big Blade Runner fan which I think was my entry point to Dickworld (although I'd need to check my books - I was hoovering up a tonne of sci-fi and fantasy as a kid, just grabbing what took my fancy from secondhand shops).
That said, I do have a penchant for the big collections of his short stories - I have one packed in my emergency hospital bag as it will keep me entertained for a while.
The best stuff in Do Androids Dream of Electric Sheep? is not in Blade Runner.
It's one of the things that struck me about a lot of the adaptations of his work - they can vary quite widely from the source material, especially when Dick gets... whimsical. I don't think the ending of "We Can Remember it For You Wholesale" would have gone down as well with movie-going audiences.