Personally, i like the Neon Colloseum,Magma Colloseum, and Stargazer Colloseum, mostly for their looks. If i had to really explain why i like each, i guess here you go:
Neon: I like this colloseum because of the uniqueness of the challenge that you face before each battle. Even though its frustrating at times(when you get all of the opponents pokemon, and they have all of your EVD D:<), its still quite fun. I've replayed this colloseum countless times, and i still find it to be fun and challenging.
Magma: This colloseum is just bad-*** looking, i'm sorry. You cannot deny the fact that a hunk of metal floating in a volcano, being held only by chains, is not awesome, i mean, seriously. Anyway, it IS a little too easy sometimes, due to the abundance of Fire-based teams pretty much every match, but after maybe about Round 4, it starts to become a little more challenging and worth your time. Alas, i still say its one of the easiest colloseums.
Stargazer: Ok, seriously, you're on top of the largest building in Poketopia, with shooting starts in the background(not to mention a freaking awesome soundtrack!) This one is really annoying once you get into the Master Rounds, and if you're unfortunate enough to be using a Diamond version to transfer your pokemon to PBR, then you'll have quite the challenge.
PS: Don't break anything, and i'm not talking about breaking a bone, i mean don't break anything in your house
Wow, i felt like i was writing a strategy guide for a moment there o_0;