I haven't seen all of his movies yet [/badjohnnydeppstan], but before it was a tie between Edward Scissorhands and Finding Neverland. As a character, I adore Edward, but as a performance, I lovelovelove Finding Neverland. Such a beautiful movie. He's so good in Blow, too.
Currently, though, I'm in love with Benny and Joon. It's such an underrated film of his. Not only does he look cute as hell, but he's really funny. It's a really sweet film. Seriously.
And not to sound cliche, but I quite loved him in Alice in Wonderland. Wouldn't say it's my all-time favorite, but he did a great job as the Mad Hatter. I also adore him in Sleepy Hollow. I love it whenever he faints.