That is a tricky one. It's hard to pick an overall favourite, but I have a favourite tragedy and a favourite comedy. My favourite tragedy is Macbeth, because I've seen some great productions of it and I like the themes. My five year old likes it too because she prefers "the gruesome ones" (though I haven't read her Titus Andronicus) and because it has witches in it. My favourite of the comedies is Much Ado About Nothing, partly for sentimental reasons (I had a reading from it at my wedding), but also because I love the character of Beatrice. It's one of the most fun female roles in Shakespeare.
Studied 'Julius Caesar' for Grade X, & 'Macbeth' for Grade XII.
'Macbeth' is my fave play.
It's got all the emotions covered, with a bit of 'supernatural' thrown in, & 'messages' with alternative meanings. Very gritty, with wonderful characters!
Very easy to study, as are all of the Bard's Plays.