My favorite's definitely Curse of Blackmoor Manor. Loved the puzzles. Thought it had fairly challenging puzzles, but they could still be reasoned out with the clues given, and they fit in well with the story.
Liked the story and atmosphere too. Probably the only Nancy Drew game I found genuinely spooky, even made me jump once or twice.
I also like Creature of Kapu Cave a lot (though I feel like I'm one of the only people who does). It has more replayability value then any other ND game, plus I'm crazy about doing the shell necklaces. For some reason I can seriously spend forever just wandering around looking for the shells to make necklaces.
Can't explain it.