My definite favourite animal is the raven. Yes, ravens, NOT crows. Specifically because of all the mythology surrounding them. They represent trickery, magic, and both darkness and light, which especially makes sense since I believe so strongly in the harmony between the two. Oh, and the Teen Titan and Edgar Allan Poe poem named after it elevated the raven's status on my favourite animal list quite a bit as well.
But I have a few runner-ups:
Spider - I've liked them a lot ever since I was a kid, and I blame Charlotte's Web and James and the Giant Peach (and later, Arukenimon). Plus I find it really amusing that people are so afraid of them. One time in high school I actually threw a fit because someone killed a spider. And nowadays I always rescue spiders that are walking in high foot-traffic areas or stuck in bathtubs.
Dragonfly - My definite favourite insect. I really like how they dart around and how their wings are designed, and also how they catch harmful insects (mid-air, no less) like flies and mosquitoes. I always try to look for them when I'm walking near a pond or any body of still water.
Owl - My interest in them has resurfaced with both Harry Potter and my general interest in dark stuff, and their association with witches (Latin Strigidae = owl family, striga = witch). As the owl is one of the birds associated with the underworld (this is also true of ravens), this makes sense. There are few things more calming than hearing one while walking through the woods at nightfall. The only exception is that I don't really care for barn owls much. Probably because they don't hoot or look as intimidating as other owls.
Cat - My definite favourite domestic animal, and always the one I prefer as a pet (I currently have two of them). Sure, I get that many people don't like their claws or independent nature. But still...