I think my favourite is the first one (Northern Lights in the UK), because the story moves along so quickly and there are some incredibly tense moments. I love the Gyptians because many of my own ancestors were canal boatmen and lived that lifestyle (without daemons of course
), but also Lyra's friendships are beautifully drawn. I also like the whole alternate universe Oxford and London. And Lyra's charistmatic but terrifying parents.
Then as the trilogy moves on, it all gets so much deeper. I think one of the greatest things about it, aside from it being a tremendous adventure featuring a girl for once, is it really stirs your interest in the works that inspired it, much as Lord of the Rings does.
One of the 'guides' available which help explain the books and their sources, I can really recommend getting one of these if you see them cheap, this one especially. It's also fun to go to Oxford and find the landmarks like Lyra's bench and the Pitt Rivers museum. I'd really like to visit the real Svalbard too, but it's maybe one for when I've won the lottery