I have three, and they are all my favorites for different reasons.
One is my favorite because I've only played it once, probably will never play it again, it is one of the best courses in the world, I loved every minute I was on the property, and I think about it all the time.
One is my favorite because I've played it more times than I've played any other world class course, I loved it from the first time I played it, I have a different favorite hole every time I play it, it taunts me with blow-ups and teases me with birdies, I can return whenever I have the time and money to do so, and I think about it all the time.
One is my favorite because it was special to me the instant I struck the first tee shot the first time I played it, I over-value it relative to almost all other golfers' rankings and compare it favorably to the best in the country, I now call it home, and I think about it all the time.