I suppose I could have two different answers. One would be for what I've personally heard performed live, and one for what I've heard in recordings.
Being that I live in Seattle, I often go to hear the Seattle Symphony play live, which is always an amazing experience. I have a hard time remembering what exactly they play all the time, but I'm always enthralled by performances of works by Ravel, Rachmaninoff or Bartok. However, one performance really knocked my socks off... which was the performance of Rite of Spring by Stravinski. Hands down one of the best live orchestral performances I've heard.
As for my favourite recorded orchestral music... There's no concretes since I love so much. But one of the most enjoyable pieces I've heard is Rachmaninoff's Piano Concerto No. 2. Really energetic writing with great melodies and themes.
I also have to include chamber music into the fold though, as not all great live "classical" music is orchestral.. and so one of my absolute favourite pieces is Ravel's String Quartet. Really amazing string writing, especially for the only quartet he ever wrote.
My favourite instrument? Well, it might be apparent from listening to Snowflight, but definately the English Horn
Also, the Alto Sax when played in a classical format. Especially as a solo instrument with an orchestra. Beautiful.