My liquor choices depend on the season and climate. For the temperate zone of the northern hemisphere, August through December is when I drink rum.
I don't know if I have an all-time favorite, but like Natch, one of the best rums I ever had was from Guyana. In this case, it was a brand called Lemon Hart. Other brands that have done well by me are Pyrat and Gosling. For flavored rums, I go with Admiral Nelson over Malibu or Captain Morgan, and it's usually cheaper than either of them. Finally, I picked up a halfway-decent dark rum from India called Old Monk back in early spring, and made it through the bottle while watching the matches of the Cricket World Cup.
For the record, someone who prefers the drier rums is probably not going to get a lot of satisfaction from my selections.