I love the first three.
Alien, I feel is the most artistic of the bunch. It has a lot of clever subtexts that carry the film very well and propel it far beyond a B monster movie.
Aliens is a war film, and that is what makes it work so well. The scenery is the most spectacular out of any other film in the series, and the supporting cast is full of winners. Even Horner's score which he doesn't like is great. This film also got an Oscar nom for best actress, no small feet for a film in this genre.
Alien 3, a widely hated film, is one that I loved when I first saw it and I still do. The dark nature and the amazing setting seem so out of place and yet so appropriate for the series. Fincher should understand that he really did make a great movie.
I suppose since I watch Aliens the most, it would qualify as my favorite. For the sake of argument I will say that.