Overplayed as it is, Rachmaninoff's 2nd piano sonata is probably my favorite Russian Sonata of all time. Heck, it's probably my favorite 20th century sonata of all time.
Another overplayed favorite, Chopin's 3rd is probably my favorite Romantic sonata of all time.
And then my favorite classical sonata would probably be Mozart's 2-piano sonata in D.
And my favorite violin sonata is Franck's, my favorite Cello sonata Chopin's.