In the cinema I loved the FOTR, like other people have said it was the most faithful to the book. In the cinema I wasn't as keen on the two towers, sure I loved the fight scenes, loved the parts with Gollum, but I rememeber coming out the cinema with my friend and complaining about the change of Faramir's character, and them going to Minas tirith. I can't really rememeber my reaction to the third one except for thinking that the film was a never ending film that we wouldn't get out of.
So in the cinema in my humble opinion the best was FOTR.
BUT it slightly changes in the special edition DVDs. With the DVDs the two towers is my favourite - and I can actually understand why they did what they did with Faramir, and it actually works (although they could have cut out that boring speech Sam does about 'because theres good in the world' blah blah blah). Plus the two towers has the best speech in the whole trilogy "fell deeds awake, now for wrath, now for ruin and a red dawn"
The return of the king, is still never ending (and i actually never watch it to the end - I don't understand why we need to have that scene with Sam and his family), but it does have the immense mouth of sauron bit!
BUT (final but) if i could only watch one of them again, it would be the fellowship of the ring, so i suppose overall that is my favourite one.