Ah...I really enjoy Colorado Ballet's Nutcracker. I think of all the Nutcrackers I've seen (and I've seen a lot of different companies' versions), theirs is my favorite. As far as a favorite ballet of all time, that's tough to say. Lee Wei-Chao's "Beyond Invisible" rearranged my molecular structure the first time I saw it. Utterly sublime. Ailey's "Revelations" gives me chills. Jean-Paul Comelin's "Requiem" (set to Mozart's Requiem) made me see God (but that could also be because I find choral music from that period to be transcendental).
Alonzo King's Lines Ballet and the Joffrey have done too many works that I've enjoyed for me to mention; their names have long since left me and I'm simply left with fleeting images and impressionistic feelings. In my view that's how it should be; like wine or a good meal--savored, transportative, sublime, ephemeral. That's the magic of live performing arts, really.
Going back in time a bit, I'd have to say Balanchine's "Apollo" was the first time I really saw what ballet could be, "beyond the tutu" as it were. I was pretty young at the time and remember being blown away by the sheer revolutionary aplomb of it. Even though it was pretty "establishment" by the time I saw it, it was brand new to me, and way beyond the 19th-century foundation I'd been cemented in up until that point. Balanchine's "Jewels" holds a special place like that for me too, for the same reason. I saw both again many years later, and they seemed boxed-in and dated; but of course by then I was a jaded adult who'd seen ballet push beyond itself into the now. This was well after the aforementioned molecularly-transformative "Beyond Invisible".
Of course, we owe a lot to that 19th-century stuff, and as cliche as it sounds, Swan Lake and Sleeping Beauty are delicious pleasures for me every time; even though I can't watch them without my muscle memory tripping, and I end up tensing and shifting unconsciously in my seat as the music cues my muscle memory. They're wholly predictable, but they're called classics for a reason.
I also love a sexy, contemporary piece (which shall remain nameless for reasons of confidentiality) that my company did two years ago. We commissioned a local composer and set the piece for a special performing arts gala in our city. I love watching this ballet and it was one of my most favorite roles to perform. Other favorite roles to perform are: Diamond Fairy in "Sleeping Beauty," Fanny Cerrito in "Pas de Quatre," and Spanish in Nutcracker.