I think my personal favorite is Days, 'cause the story was awesome, and the story was so touching. And maybe because of that I like Axel, Roxas and Xion the most of the triplets, their story is just so sorrowful and beautiful. x3
Kingdom Hearts 2, BBS, and DDD are good too, but I actually like every one of the games, even coded was good in my opinion, the ending was very rewarding, telling so much what will happen next and that stuff. ^^
Kingdom Hearts 1 wast the first KH game I ever played, I didn't rlly care about it at first, and my dear brother and his ex-girlfriend enforced me to buy it, but I'm clad he did, I'm pretty sure that I wouldn't have ever bought the games if he hadn't done that.