I actually haven't actually finished a lot of wads, but I do have a couple of favourites.
Favourites:
Going Down, Equinox, Grove, 2048 units of VR, The Given
Finished:
Epic, Rowdy Rudy 1, Sigil, Mock 2, Plutonia
Not finished, but like so far:
Hell Ground, TNT Revilution, Resurgence, JPCP, Ancient Aliens, Eternal Doom, Preacher, Revolution, Rowdy Rudy 2, Struggle of Antaresian Legacy, A.L.T., Pirate Doom, and THT Threnody.
(Jesus Christ I didn't realise how many wads I need to finish...)