My all-time favorite is the Rise of Darkrai. I love the mystery around what's happening in Alamos town with people not being able to leave, and the hallucinations the characters are having. I think they did a good job of making the movie feel like you're inside of a dream. It was a creative way to tell a story involving Darkrai, the Pokemon that makes you have nightmares. It's quite surreal in the first half, and visually things get even more fantastical at the climax of the movie during the great legendary Pokemon battle. I also really like the design of the space time towers, and love how they took inspiration from the architect Gaudi for the character Godey. Who says Pokemon is just for kids? Some of it's really sophisticated actually. I think also Godey and his relationship with Alicia might be inspired by Lewis Carroll and Alice Liddell, that's just my theory though.
My favorite part of the movie is without a doubt Oracion. The music is so beautiful, and think the full orchestra version at the end is the most incredible track I have ever heard in the franchise. It just gives me chills, especially when all the light and clockwork starts coming our if the tower. I will stop and repeat it sometimes because of how uplifting it is spiritually. I just feel entranced.
I think this movie shows off the mythology of the Sinnoh region really well, and the events also connect nicely to storyline in future movies, namely Arceus and the Jewel of life.
There are many Pokemon movies that I adore especially from the Advanced and Diamond and Pearl era, but Rise of Darkrai is easily my favorite.