I don't have a favorite, haven't used them enough, but I have ran into several.
If I did have a favorite, it'd probably be a 7833, as it's a drop-in replacement for the ubiquitous 7805. Not LDO, though, and not exactly common.
I have used a 2985 (or was that 2981?) 3.3V fixed. It's a bit weak at 150mA (at least the SOT-23-5 version I used was).
I received some LP2950s in TO-92 a couple of weeks ago, but haven't used any yet. LDO, but only 100mA.
The LM2940 is a nice LDO replacement that's pin-compatible with the 78xx, available in 5v and 3.3v fixed versions, among others.
Of course, there are always the adjustable regulators; I've got a couple of LM317's in service at 3.3V.
-j