'Paysage' is definitely my favourite, and then, unusually, 'Preludio'. I love the placid atmosphere of 'Paysage', as well as its deceptively simple construction, while I find 'Preludio' lots of fun to play and listen to. Also ranking high on my preference list are the A minor etude, 'Eroica', 'Wilde jagd', and 'Chasse-neige'. I don't dislike any of them per se, though I must admit I don't particularly care for 'Mazeppa' - it's probably my least favourite of the set. It just doesn't do anything for me, and the major resolution feels loud and fake (apt though it is given Mazeppa's eventual fate).
To answer thalbergmad's question, the F minor etude is sometimes referred to as 'Appassionata' (the A minor etude, meanwhile, is sometimes called 'Fusees' ('Rockets')), but this wasn't Liszt's idea (it might have been von Bulow's idea, but perhaps I'm confusing the TEs with the Chopin preludes Op.28), and it's not widely used. Still, given that 'Paysage' and Beethoven's 'Pastoral' symphony are both in F major, while 'Eroica' and Beethoven's 'Eroica' symphony are both in E-flat major, it would be fitting for a transcendental etude sharing the key of F minor with Beethoven's 'Appassionata' sonata to bear the title 'Appassionata'. (I know Liszt was an admirer of Beethoven - not to mention the most famous student of Beethoven's most famous student.)