My single favorite handgun caliber (aside from the .22lr) is the .357magnum. I like it for a bunch of reasons, but power and shootability are the top two. In autos, I like the .45 and the 9mm about equally. The .45 is a better round in terms of defense and power, but the 9mm is cheaper and easier to shoot.
In rifles, my favorite is .22lr. Past that, I can't really narrow it down. I like the 6.5x55mm quite a bit, but I also really like the .30-06. I really like shooting .223, and I really like shooting my Mosins. I guess if I was forced to pick a non-22lr round, I would go with the .30-06, but I can't really say it's my favorite.
In shotguns, I like 12 gauge the best. I shoot a bit better in upland hunting with a 20 gauge, but the 12 gets everything done that I want, and thus that is my favorite.