My favorite so far has been the Thieves Guild questline and endgame. It was satisfying and rewarding. I can't wait to handle the final confrontation a second time in Vampire Lord form. I also loved the Aetherium quest. It felt like real tracking and travelling, having to follow the map to the separate dwemer ruins, and the ghost (who's name escapes me) was a really likeable character. My roommate kept insisting she would betray me, but I was convinced otherwise from the very start.
Hmmm... Main quest. You know, because dragons. Basically all quests for Neloth from Dragonborn DLC. Even if it is a fetch quest, just hearing his dialogue is worth the effort. The Forsworn/Markarth quest is amazing to me. It is one of the quests that runs deeper than fetching things and gives you a SLIGHTLY difficult choice. Seeing shivs made it feel ultra believable. Also definitely the battle for cities during the Civil War, either side. Finally seeing some impact on the world, environment change, is satisfying for sure...
College of Winterhold questline is my favorite. Close second are Thieves Guild and Dawnguard. And the third place goes to the main quest
That's for major questlines. From small ones my most favorite quest is the one in Darklight Tower - Repentance. Others are The Pale Lady and Ancestral Worship