I'd say it'd be hard to narrow it down to one favorite.
I've always been a sucker for a good pretzel while walking around New York.
In Newark, there's a hot dog truck in Branch Brook park with spicy beef sausages and hot onions. I can make the onions on my own, but I've yet to find a similar beef sausage in any grocery store near me (and it's so much better than a simple hot dog).
And then any kind of Greek food is great. I like gyros and kebabs, and there used to be a tiny shop across the street from Yankee stadium that sold souvlaki / kebabs. It was a tradition to stop and get a few of those before every game.