What makes it your favorite? Do you want to play it? If so, what's keeping you from doing it?
For me, it's Burning Wheel.
I bought it purely based on aesthetics back in 2008ish, then got the supplements, then Gold, then Gold Revised, with the Codex, and the anthology...
I blame it for my weakness for chunky, digest-sized, hardcover RPGs. :P I also like the graphic design, I like the prose (even if it's divisive), and it has both interesting lessons you can plug into other games (like "let it ride," letting success or failure stand instead of making lots of little rolls) and arcane systems that pique my interest (like the Artha cycle, which makes roleplay, metacurrency, skill rolls, and advancement all intersect). I genuinely like reading it for its own sake.
I haven't played it because... well, since it's not D&D, that immediately makes it harder to get people interested, sadly. It's also a bit daunting, given its reputation as a crunchy system. But I have a group of players interested in trying new things, and fewer other games calling for my attention, so hopefully I'll get a chance soon. :)
From way back in the days, Valley of the Pharaohs. While not my first game that attempted to be historically accurate (that honour falls to Chivalry & Sorcery) it was the first such game I found that not only tried to be historically accurate but also supplied loads of supporting material for it. (This was more important pre-Internet than it is now because it was both time-consuming and hard to find good, solid historical information that was usable in play.)
But I could never interest anybody in playing it.
So there's this Spanish rpg called The Door of Ishtar, which takes place in Mesopotamia after Zargon the Great defeats the Sumerians and founds Akkad. Such a rich world that I had to buy. I know I'll never get to play it though.