My favorite is Sweeney Todd. I know, I'm weird... but the music and story are amazing and I was in the pit orchestra for it in college. I had so much fun doing it so part of my love for it is definitely the nostalgia factor.
I also love Damn Yankees, Les Miserables and uh, Annie.
I really love movie musicals. I don't have a favorite, but there are many that I love for many different reasons.
Moulin Rouge! - The sets, costumes, acting, and the visuals! High School Musical - I think this is pure musical fun. The Phantom of the Opera - I love everything about this film. Oklahoma! - A classic. A Christmas Carol: The Musical - My favorite Christmas movie, starring Kelsey Grammar. Mamma Mia! - Again, pure musical fun! The Music Man - Another classic, but this is my favorite older musical movie.
I'm sticking strictly to movie musicals, but my best three would be The Wizard of Oz, Rocky Horror Picture Show, and South Park: Bigger, Longer, and Uncut (whose music is surprisingly excellent). Oh, and Hedwig - I'm all about the trannies.
Today of all days it would have to be Meet Me In St Louis. A great Christmas film and a great musical. It doesn't have as many songs as a lot of Hollywood musicals but the ones it does have are first-rate. There is something deeply tragic about Judy Garland in this film. What they refer to in the trade, I believe, as a three-hankie job.
At the other end of the scale - Jacques Demy's The Umbrellas of Cherbourg, where even all the dialogue is sung.
There have been a lot of beautiful Musicals written, many of them I have had roles singing in. My favourites are The Sound of Music, Mary Poppins, My Fair Lady, and more recently Phantom of the Opera, in fact all musicals are lovely, are they not? Beautybabe.
South Pacific for nostalgia (met my husband while playing Bloody Mary in our highschool's production) Rocky Horror Picture Show for pure ridiculousness Putnam County Spelling Bee is my more current favorite Into The Woods Phantom LesMis Anything that I get to watch Gene Kelly dance in Taps is a phenomenal on screen (but tap is my favorite dance form, so I'm biased.) SING! is a lesser known movie-musical I enjoy Apparently I could go on all day... I'll stop there.