Deciding on a favorite is a difficult task, given that I enjoy most of the games and suck at making decisions.
I'd have to say PCB. The way that so many connections or groups are placed into one game actually impress me. Letty doesn't really connect to anyone (unless you count Cirno, but I'm not getting at that). Aside from that, you have Chen, Ran, and Yukari, as well as Alice who gets reintroduced to the series and reappears in a few of the next games. The Prismriver sisters all appear in one boss fight, and then you have Youmu and Yuyuko. So that's about two groups and two other characters with connections.
Call this a wall of text if you will, but I still find this pretty damn impressive.
Also the game was beautiful and the music was an eargasm.