I've got a couple sets of dice I'm fond of, but I have a single favorite set and a separate favorite d20. My favorite d20 is simple black with white numbers that some of my players banned me from using after rolling five straight critical hits in one night. It rolls so well, so consistently that there was one point where I actually carried it around for luck.
My favorite set is a gray set with silver numbers. I used those dice when I introduced two new groups to D&D: one group in high school, and one while I was in the military. I've never had a particularly bad night rolling that set, even as a DM.