Dragon Roost Island. The dungeon there was pretty good, the Rito were awesome, the music it was justpic, the characters were cool, the sidequests were diffiicult, and it was just a fun island to be at.
My favourite has always been Windfall. Like everyone who said this has said, there was just so much to do, and it was a fun place to be. Perhaps it's also because that's where I would tend to play when I played WW on my Collector's Edition. Dragon Roost Island is my second favourite simply because of the music!