There's no point in having a favorite weapon, if you don't know how to use it. That said, all of the weapons I list, I've practiced with. Several of them I'm proficient with. I've been using a broadsword and a recurve for over 10 years, so I can say with confidence they are my favorite weapons, and what I am best at.
I lean heavily towards the Western Medieval weaponry, I.E. cut-and-thrust one-hander sword circa 1300s, falchion, longsword, bows (longbow and recurve), sword and dagger, sword and heater shield, rapier, foil, epee, saber, quarterstaff, polearms, flails, daggers, throwing knives, throwing spears, sling, the list continues. But my first choice will always be a bastard sword. Fairly versatile, able to be used in one hand in conjunction with a shield, or two-handed for faster and stronger blows. And in a Romantic aspect, you just can't beat the age-old myth and legend surrounding that which is "sword".
Not to say I don't love guns, however. Been shooting since I was 6 or something. Favorite is always going to be a M1911 Colt .45 Pistol.