My favorite fangame... hmmm...
Well, it's not out yet, but there's a Kirby one that's looking /very/ promising whose name escapes me. (I think it's Cosmic Chaos or somethin' like that)
And I've got a soft-spot for Touhoumon Emerald (AnjiruSensei's Normal/Hard version etc.) and New Super Marisa Land, if only because Suwarisa looks so damn cute.
And Touhou Labyrinth's a great game, too. It helps give me that grindy, RPG-y, dungeoncrawler-y kick when I'm too lazy to play Persona 3 or Digital Devil Saga (or, in the case of P3, too lazy to plan out my days and whatnot).
Not sure if this counts as a fangame, but Desktop Dungeons is pretty fun/hellishly difficult~