My favorite Franz Liszt Pieces will always be his late pieces for some reason. I enjoyed his early works but as I saw him change I am guessing that is where I started to like him even more.
I love his Nuages gris, Abschied (very beautiful piece), Unstern! Sinistre, Disastro, Funeral Prelude and Funeral March (incredible piece!) Schlaflos, "Resignazione", En reve, and "In festo transfigurationis Domini nostri Jesu Christi."
I could go on forever to be honest.