I can't say I have an all-time favorite anything, including anime. The ones I like best are those that are still fresh in my mind, which are DragonBall Z, FullMetal Alchemist, and one I probably should have watched a long time ago but just finished the other day, Wolf's Rain. D.Gray-Man is also awesome; sure hope they'll have another season or something.
DBZ was probably my first anime, unless you count Pokemon. It never gets old. FMA has such an excellent story and characters (I've got brothers, so I've always liked things with brothers in them), and the manga's still going! Wolf's Rain is very touching, especially at the end (I had tears streaming down my face). D.Gray-man seems very unique somehow, with the creepy-but-whimsical villains and an interesting take on a Bible story.
I really like mysterious or supernatural things, or strange, enigmatic settings. I miss the days when Pokemon felt like that...