My favourite collections are The Doll's House, Season of Mists, Brief Lives and The Kindly Ones. And The Wake is just beautiful.
Of course, these are all collections with one coherent storyline as opposed to the books that consist of single near-standalone chapters, so I guess a comparison would be unfair. If you asked me what my favourite chapter was, things would probably look a bit different.
Perhaps the Arabian one. It really sums up the logics and the poetry of the dreamworld beautifully.
Oh, and the one with the Chinese guy in the desert.
In fact, they're all good