It depends on my knitting project.
My favorite (and most expensive) are the AddiTurbos.
The part where the cable and the needle join, is slick smooth. They come in handy, especially when magic looping, knitting in the round / circular knitting. Excellent choice if you're a tight knitter. You won't have to fight getting the needle into the stitch. I didn't like them as a new knitter because they are so slick! My stitches would fly off my needles. But now that I'm a little more experienced, they are wonderful!
My second favorite are the Inox needles. (just as good as Addi Turbos, and much cheaper) They feel a little heavy, but they are great!
My other favorite is bambo. (Especially when I was a new knitter.) The bamboo holds onto the yarn when you knit loose and learning tension. I love to knit washcloths, baby bibs and burp rags. My favorite (can't live without) are the size 7 (extra long) straight bamboo needles for those.
Downside of bamboo circular needles; the yarn gets caught when you slide the yarn from the cable onto the needle.
I knit everything else with circular needles. (either in the round or magic loop) I'm on the go a lot, and they are much easier to keep track of.
What needles have you tried, what is your favorite?