Fantasy games I've played include a couple of Homebrews that fit nicely elsewhere, D&D 3rd ed, 3.5 and 4th ed, Pathfinder and Warhammer Fantasy RolePlay. Oh, and fake D&D spoof game that Husbit was running when I met him (seeking out the secret herbs and spices that made Kobold Fried Chicken finger linkin' good). And D&D variants such as Midnight and Very Forgotten Realms (in which all sentient beings in the known world had woken some years previously with total amnesia). And our Exalted game is currently very fantasy-like, but I don't know if that's an Exalted thing or an our group thing.
I've played some very enjoyable D&D campaigns (the Midnight setting particularly stands out) and of course I adore our Pathfinder game. Meanwhile, I've yet to play a WFRP's campaign that has absorbed me as completely, yet I really, really like the system.
So I'm torn and going to break my answer down.
I think Midnight might be my favourite fantasy setting because it is a bit different and the game is inevitably lower level; darker and dirtier.
Our current Pathfinder game is my favourite fantasy campaign. I'm very much behind Svetlana and want things to work out for her. I'm (fairly) sure they will and want to see her story through.
But WFRP's is my favourite system. I prefer moving through jobs than levelling in a class. When you reach 20th level in D&D, it feels like that's it, you're done (like a level cap in a PC game) and that's a shame. In Wfrp's, you can move through another career path to conitnue improving, continue learning new skills. I also like the huge variety of careers you can follow and pick up valuable skills from - moving through peasant-type jobs isn't a penalty the way a level in commoner would be in D&D. Just a shame there's no Blood Bowl player career! (Yes, I know, it's an alternate reality in which the sport replaced war, but I'd still like to run a campaign where you start as members of a Blood Bowl team...)
I'm not sure though. There is so much variation and variety and home rules and personalisation available to fantasy that I'm sure there are many better systems and settings out there, and I look forward to discovering more of them.