My personal favourite is 4th gen. I know I'm probably biased, as Diamond is the game I remember the most from my childhood, but there's something about the Pokemon provided, the region, characters, and storyline that really appeals to me.
3rd. It was the first gen I really got into and started being more serious about Pokemon besides just picking fighting moves all the time. I like all of them, though.
Gen 2 hands down. I don't get why they didn't have two regions in one game ever again because it's fun and the whole 'where are they now' with Kanto characters was great stuff.
Gen 4 because HG/SS, pretty much gen 2 perfected. Diamond/Pearl were painful but Platinum redeemed them somewhat. Also it's the best gen as far as new pokemon introduced.
My favorite is Gen 3. It's the first Pokemon game I ever played (Leaf Green). Somehow I think it's the best game on the GBA (but also with other games too).
Generation 4. It's the generation I started with and it's also really fun to replay, has great characters, great areas to explore, a lot of good Pokemon introduced, and one of the best Champions in the game.