This can be either 1 particular mission/quest or a whole questline.
Mine has to be the quests that takes you to blackreach. The first time I laid eyes on this beautiful land I thought of avatar. So Discerning the Transmundane, Elder Knowledge, A Return To Your Roots were my favourites.
One of my favorites has to be Missing in Action. I ignored that quest for the longest time, thinking it was something stupid and random, then I finally did it and I'm like, "wut? Random attack on a Thalmor stronghold alongside a band of vigilantes with the intent to rescue a political prisoner? AWESOME!!!!" Those Thalmor are actually a decent challenge too, even at a decent level they can overwhelm you. Of course, you can just sneak in and skip all of that, but then you don't get a screaming, invincible (except for one, who is comically weak compared to the others and just about immediately dies) posse of Stormcloak wannabes :D
'Blood on the Ice' and the one where you get drunk, cause havoc across Skyrim, set it all right and end the quest with the Sanguine Rose which to my mind is one of the most beautiful bits of kit in the game. Sorry I can't remember the quests name. Is it 'A Night to Remember'?
i have completed the main quest line 4 times now! and my most fav (lore) type part is when you go to meet the person who took the horn from the crypt (delphine) at the sleeping giant in river wood... i just enjoyed walking though the quiet inn with my companion all kitted out and having a ''secret'' meeting behind that wardrobe! Also enjoyed finding sky haven temple with delphine and esbern.. anyone else actually travel there with them?!
Blackreach is pretty epic. I can't believe no one picked the Companions questline? That one really sucked me in the first time I played it.
Side quests I really enjoy: the Wolf Queen (solitude) and I love the story behind the Pale Lady (frostmere) if you read all the journals etc. I also totally love Shroud Heath Barrow, it's like a Scooby Doo adventure almost, with that guy pretending to be a ghost =)
Everyone loves the Dark Botherhood quests, which are fun to say the least, no doubt about that. I prefered the College of Winterhold quests more, though mainly because I like the mystical and magical aspects to games. To name one however, it would have to be Forbidden Legend quest (recieved during my second favorite in the game 'Under Saarthal'). Its a long one for sure, and required some time and effort, but had a great storyline, puzzles, and exciting locations.
My favorite quest would have to be Elder Knowledge, for two reasons. Exploring Blackreach and getting the Oghma Infinium, because after I beat the game 4 times regurlarly, it's fun to exploit the crap out of the glitch thay probably everyone knows about by. If you don't, search "Oghma Infinium Glitch".