Very interesting topic
It's really hard to choose just one set because most of them (especially the ones from the first wave) were nearly perfect. For me, my favourite LotR set is the Battle of Helms Deep. It was my favourite castle from the trilogy and since I first saw the movie as a young boy more than ten years ago, I tried to recreate that battle with the bricks I had. So it was really something special for me when that set was released in 2012.
The set is great in my opinion because it features nearly all important scenes from the battle, the minifigure selection with armoured Theoden and Haldir is very nice and the size of Helms Deep is appropriate, too.