Favorite place? Hmm...
Tuchanka, I think. It just felt like there was such a history there. The first time I went there in ME2, it made me feel like I'd just walked into a spaceport or something, I felt like a total foreigner taking in the sites for the first time.
Other than that, all of the Shadow Broker sections of Illium, as well as the exterior and interior of the ship. I felt like I was goddam James Bond trying to save the world from some evil Doctor Soandso.
But my heart will always have a special place for original Mass Effect Citadel locations. Man, that made it really feel like...I dunno, I was home whenever I returned there in the first games.
The rest of the times it felt like a chore :\