No favourite but most of his Esquisses, Op.63, interes me very much.
A classmate played his "saltarelle" (or something similar to that), he had problems with it but I think it sounded really good. Something I'd like to learn myself.
Opus 39 Nos 4-7
One of my favorites is "Le Chemin de Fer", a.k.a. "the Rail". This is purportedly the first musical representation of a Railway Train ride, complete with "whistles" and the train slowing and coming to a stop. A real "moto-perpetuo" piece.