ANH was epic and had constant movement from place to place, revealing just a dab of every aspect of the universe while showing a great story line that covered up an even greater story line to come.
ESB was dark and expanded on existing characters much more, while introducing some new ones as well. You saw that Darth Vadar was merely human instead of just a two dimensional bad guy (putting his helmet on facing from behind him, and later announcing that he was Luke's father). Lots of tragedy as well as twists and turns throughout.
ROTJ had a more lighthearted feel about it with the Ewoks and celebration at the end, but with all of the battles that took place in it (Jabba's palace, the Death Star, Luke/Vadar/Emperor fight), it definately balanced the tone.
If I were forced to pick one, I'd go with Empire Strikes Back, mainly because I like darker films. But honestly, I still like the other two just as much.