I don't just have one favourite, because I don't play the scenarios for the same reason. Also, after the first couple of games, I revise the scenario after just about every time I play, (to make it more fun or more historical, preferably both), so I may play a scenario more because it's harder to "fix", rather than because it's a favourite. But I have played to the end and enjoyed all Conquests except WWII, and here's how . . .
Some of the scenarios I play for a short game, as a kind of alternative to the start of an Epic game: Mesopotamia, Mesoamerica, and Sengoku. Of those, Sengoku would be my favourite (I play it on the smaller map by Andrew_Jay, but with 8-9 civs to improve the game play). Mesoamerica is the one I've spent the most time on, though; I haven't changed the tech tree, but have modified unique units and increased the number of civs in the game to seven (four playable), while changing start locations. Mesopotamia I play as is, and I see it as a window into "vanilla" civ.
Others of the scenarios make for a much longer, strategic-level military game: Rise of Rome, Middle Ages, and Napoleon. Middle Ages I've tried from each of the main cultural perspectives, and have enjoyed the existing version enough that I've only altered a few details. (I enjoy how difficult it is to set up a Crusader Kingdom, just like in real life!). Napoleon I've fixed a bit of history and military history and played with diplomatic options to try to produce something more like what actually happened. And Rise of Rome has taken much of my time and attention, though my current version probably represents too many small states to be elegant at all.
Then there are Fall of Rome and Age of Discovery, each of which present a different version of construction and destruction. My next Fall of Rome game will be the first since I made some map changes, which I hope will bring the scenario to a place where I can suspend disbelief more easily. With Age of Discovery I would have given up if it hadn't been for capman's revised version with more amerindian civs, and I've changed it further so that the native civilizations develop more the way they seem to have done historically (I can't control those wacky Europeans, though!). Both of these are different enough from everything else that I couldn't rank them, though I'm hopeful that my next try with Fall of Rome will be one of my most satisfying games yet . . .
(And as you might have guessed, I don't play the epic game, only Scenarios.)