Although I do like The Deathly hallows, Half Blood Prince takes the cake. The tale of Tom Riddle's past, Slughorn, Felix Felicis, Draco's reluctance to join the dark side and Dumbledore's ultimate demise is very enthralling. Prisoner of Azkaban takes a sweet third place.
Half Blood Prince.
After the sheer drudge and endless torment of Phoenix, the comedy fun and frolics of "Prince" was just a welcome relief.
Closely followed by Goblet of Fire and Chamber of Secrets.
OOTP and Azkaban are way down the bottom of the list, simply because they are too damn long. (The end of Azkaban seems to be longer than ALL the other books combined, which I realise should be impossible but trust me -- it is).