My favorite book was DEFINITELY "Brief Lives", although "Season of Mists", "The Doll's House" and "The Kindly Ones" are all right up there too. Looks like we've got pretty much the same taste there.
"The Wake" is probably my second least favorite. It's fantastic, but it's depressing and it's not one of my favorite parts of the story to reread over and over because it makes me sad.
My favorite single-issue story was probably "Three Septembers and a January".