My favourite is clearly Goblet of Fire. One of the main reasons is that I really like the concept of fantasy competitions. The Triwizard Tournament especially fits my interests, since I always been fascinated by fictional games.
I also really enjoyed that we got to see other wizarding schools beside Hogwarts. It made it more interesting and I liked learning more about the wider wizarding world.
Another thing I found very engaging was how dangerous the tournament actually was, made it exciting.
And just a small side note, I also really liked Harry's longer hair in this movie.