Aw nuts! My original pick was VG-1, but I just can't pick a single steel as my favorite. However, others that have really stood out for me are -
SG2 - Will get 'spooky' sharp.
N690Co - Again, will take a great edge that is quite aggressive.
S30V - Takes a long lasting edge that can be polished. Wears well and is tough.
CPM154 - A great overall steel that takes a blazing sharp edge and is easy to touch-up.
154CM - One of the best 'working' steels around. Easy to sharpen to a polished edge and easy to maintain.
M390 - Takes the sharpest and most durable edge I have yet to see, Simply amazing.
S90V - Very close to M390.
And last but not least, good old 440C. When treated right, it will take an aggressive edge that can be polished. I think that one of the Buck's used to call a 440C edge a 'meat edge'.
In short, my favorite steel is whatever I have in my pocket at the time.