My favorite Pokemon movie so far is the third - "Spell of the Unown" - mainly for the story, dub music (which I thought was better than the original Japanese score), and characters.
In second-place would be the original Lucario movie, "Mew and the Wave-Guiding Hero." The dub of it was very good, but when I watched the original I cried three times. The first and third times, when the Tree was calming the warring factions and during Lucario's death, I shed a few tears, but for Aaron's death I practically cried my eyes out. No Pokemon movie --- indeed, no movie I can remember seeing before --- has made me react that way. In the first few minutes of the movie, I felt like I had known Aaron and the Queen for all my life...
I never saw the first movie as anything that special. I mean, sure, it was the first and it had a great beginning with Amber and baby Mewtwo and it brought up the issues of cloning, but other then that I thought it was mediocre. I also liked the second movie, The Power of One, for Lawrence/Jirarudan/Gelarden and all the legends featured, but all the other movies have been pretty dull (I hold the Manaphy movie in higher regards to the others not mentioned solely because of the music, Manaphy, Galen, Lizabeth's grandpa, and Phantom) in my eyes. :\
After the third movie I think the originality (plot-wise) of the movies started to decline. I'm not saying that two powerful beings, supposedly opposites, fighting to the death and the main character stopping them is original, but more the mechanics of the plot. After big-clashtic-battle-with-mislead-antagonist, world-shaking-prophecy-coming-to-life and little-girl-forming-the-world-into-her-fantasy-land, the Pokemon movies seemed to become a mix-and-match in terms of plot...but I suppose it's pretty difficult to come up with 10 completely nonlinear storylines that have no intersecting points whatsoever.