My favorite games tend to be long and feature overt conflict, and I like things like tech advancement or economic concerns mixed with combat.
For this reason, I lean towards old Avalon Hill "sweep of history" games over straight wargames. Card-driven wargames have enough of that extra element to be big favorites, and some of the euro/wargame hybrids like Imperial, as well. Some are completely missing it, like the recent Shogun (not the excellent 80's Shogun).
I like a number of eurogames, but my most frequent compliment is "nice and short". I tend to play them because I like the company, whereas I'll play wargames or my AH favorites at conventions or in settings where the game is the focus.