I think my favorite film in the whole Harry Potter franchise has got to be The Prisoner of Azkaban. For the sweep and drama, the emotional development of the characters, it does it all for me.
My favorite scene in that movie is near the end, with Harry at the lake, surrounded by swarming Dementors....he keeps holding out, waiting for his father to save him. And waiting... and waiting...
Until he finally realizes that if anyone is going to save the day, he has to do it himself.
I literally cried for joy watching that scene but only now I understand what a deep chord it struck in me as an atheist...the symbolism of it all. The magic/fantasy elements are just window dressing for fun and entertainment, but the core message boils down to:
No sky daddy gonna come save you. At bottom, you've got to reach within yourself to find a way to overcome.
It was a very, very deeply moving scene and I think a big part of why this film is my favorite of all the Harry Potter movies.
Another big part is the emotional connection between Harry and his kindly teacher who takes a genuine interest in his life and seeks to mentor him, and also learning the truth about his uncle and how much his uncle loves and cares for him.
That and Hermoine starts really looking good in this film, too ;-)
It was also the best critically received film of the franchise, and for good reason. I still love this movie and would gladly watch it over and over.