My favourite Pokemon is Aerodactyl, but I've had one in every game that I could have done, so it's impossible for one specifically to have a special spot in my heart. No, for that I have to go with my Magnezone in SoulSilver.
"What's that?" I hear you cry. "You can't get Magnezone in HGSS because there's no Mt. Coronet/Chargestone Cave!" And you would be right in that assessment. But the crazy thing is that I reeeeeally wanted a Magnezone for my SoulSilver playthrough, so I went out and bought a used DS and used Platinum for the sole purpose of trading and subsequently obtaining my Magnezone. It was, admittedly, a move of madness on my part... I only started playing the Platinum game for real years later. But that Magnezone occupies a special spot in my heart accordingly.