I always have a hard time picking favorites and for me any Anime genre is potentially on the table for me to watch and love.
I think my favorite genre would be either Sci-fi 0r Fantasy, I love shows involving mystery, magic, mythology and/or crazy ideas involving science and technology. I might have said that horror was my favorite genre but because there are so few good anime that can pull off horror, because the unrealistic nature of cartoons often makes things less intense.
I also greatly enjoy a good romance or drama, but I don't think I have seen enough yet to justify calling romance my favorite anime genre.