My favourite is definitely ANH, my reason being it's complete on its own. You don't need to see the others. Now, I know that it was done that way because there was no assurance of a sequel, but I've always loved being able to watch that movie not just as part of a series, but as a film all on its own. I could watch that film over and over and never watch any others and I'd still be happy. Not to say that I don't love the other films, but they just all feel like I need to watch them all to get the one.
That, and I have it memorized.