I don't know that I have an all time favorite... I like to see Rudolph The Red Nosed Reindeer if we can catch it.
I do like Miracle on 34th St, too.
Not a huge fan of Polar Express. It was nice enough, but not something I'm going to go out of my way to see again.
Years ago there was a little story about Nester the Long Eared Donkey. OMG. It was SO sad! Might be why it isn't played any more?
The Charlie Brown Christmas one is another that everyone seems to love... but I find it kind of ho hum (all but the little scraggly tree). :D
Another one that so many people love, It's a Wonderful Life, I'm a little over too.