I still think Goblet of Fire was my favorite book of the series, even with the pointless and irritating SPEW storyline. But other than that one, I really liked it, and Cedric's death shocked me more than Sirus's and Dumbledore combined.
My least favorite would be Order of the Phoenix. Holy bloated plotline Batman! Getting through that book was torture for me! And yet surprisingly, I really liked the movie a lot.