Hm, that's a hard question. In fact, I love all of his moives equally. I can't choose one as my favorite. In fact, I haven't seen Insomnia yet, and that's a shame, but I'm sure I'm gonna buy the DVD. It's the only movie from him I haven't seen (okey, and Following, but it's impossible to get it here in Hungary).
I think I had the most fun in the theater during The Dark Knight. That was a truly great experience. I really love Insomnia and Following. I think Insomnia wins that battle because of the production quality. Great cinematography, production design, and score.
The only movies I've seen of Nolan are Batman Begins, The Dark Knight which is a shame once you think about it But I'm still looking forward to seeing The Prestige and Inception once it hits to theaters .