First and foremost favourite is Cold Meat Industry. I have yet to hear a band from that label that I dislike. All of the best dark ambient artists I've found are signed to CMI as well.
Second is Factory Records. Like most I found out about them through Joy Division/New Order, but after listening to other bands signed to the label I enjoyed them all a lot as well.
Third is 4AD. Initially solely because of Cocteau Twins and Dead Can Dance, I read up more about them and saw they'd signed a lot of other bands that I like as well. Also the Beggars Group company (parent to 4AD) in general just has a lot of good bands signed.
Mute Records have a lot of really good bands as well, but not quite to the extent of the others.
I don't really remember the names of record labels, unfortunately. I only know a few off the top of my head, one called Kunthaus Records because it's more or less a local record label, Ecstatic Peace because it's the record label of Thurston Moore from Sonic Youth and I was looking for new music to listen to at the time, and thirdly Fat Possum, which I have no clue why I remember but when I bought The Black Keys' album Thickfreakness five or six years back it had been released on that label and I guess I found the name weird or something.
I don't tend to have a favourite record company, as I like a little bits of lots of music styles. To be honest, the record company is one of the last things I take into account when determining new bands/artists to listen to, as I have no idea if there is a shared history or 'type' of music each specialises in, in the same way that TV has evolved in a very branded medium (CBS being for older people, NBC having really good but low-rated shows). If I paid more attention, I'd be able to give a fuller response, but I really don't know enough, unfortunately!