I dunno, I have a few favourites, but I think I'm going to have to say that my favourite overall costume is my Rika costume - it's fun to wear, and comfortable, and I'm relatively proud of it, and people tend to recognize me and I am always the only Rika at any given con, and yeah. Also, demeanour is fun. But as far as acting in costumes? The most fun I've had being semi-in character was cosplaying Mello. That was so much fun. I kept the gun in the front of my pants and just pulled it on everyone, all the time, and I got to be a tremendous douchebag, which was really entertaining. Same reason I like my Scout cosplay.
I have a feeling, though, that when I make my Schmendrick cosplay, that one's going to be my favourite. I can't wait to get started on that.