Like most everybody I have so many (I tend to think of trilogies as a single book usually, they'll have stronger or weaker volumes, but they are one story. of course you couldn't go that route with some longer series...) I hate to try narrowing it down, but...
If I have to settle on a single novel, I'll leave our chosen genre, and say
To Kill a Mocking bird is probably my favorite novel (and possibly my favorite movie oddly enough as movie makers usually really screw up books. This is a notable exception, like LOTR). For my favorite sf/f novel, well, while I love LOTR as well as other already mentioned books (the first Amber sreies by Zelazny, some others) I'm going to say my favorite is
The Deed of Paksenarrion By Elizabeth Moon (a couple of levels of quality above her space operas in my openion). I've read them both countless times and will probably do so in the future (as long as I'm around) even though time is starting to anounce it's presence to me more insistantly and I often look in forlorn hope at all the unread volumes waiting on my shelves..
. Still, These books and their characters speak to me. They're like old and faithful friens in the face of lifes daily battles; re-reading them is like going back to places I've loved and finding the people that made them speicial still there waiting, untouched by time.