For mine, I would say 'You Only Live Twice' would be a favourite, but I also rate 'GoldenEye' and the recent 'Casino Royale' up there too.
Sean Connery is James Bond. He is the greatest. I also thought Pierce Brosnan was fantastic as Bond. A close 2nd to Connery in my books.
'You Only Live Twice' I think I've seen more times than the others (because that just happens to be the one I see more on tv than the others!), but I really rate it. It has a good story, plenty of action, a bit of humour here and there, and all the other componants a Bond film generally should have.
'GoldenEye' was the first Bond film I saw at the cinemas, so that was a good experience that has stuck with me. The other Pierce Brosnan ones I thought were pretty good too infact ... well ... all bar the last one (the one with Halle Berry). That was a turd on a stick.
'Casino Royale' (2006) I really enjoyed because it was so different from the previous 20-something Bond films. It was grittier and just, well, different. I don't think Daniel Craig looks like a James Bond, but he did a great job last time around, and I look forward to seeing how he goes in the new one that's coming out at the end of this year I think.