I would say my favourite would be pre-Hardmode ~ everything kinda fits together well pre-Hardmode, and the items you get seem to have a sense of normality. Flick the Hardmode switch, and that sense of normality gets thrown out of the window and is replaced with five times as much wacky - and while I do enjoy the wacky and insane Hardmode stuff.. there's something to be said about wandering a pre-Hardmode world with endgame pre-Hardmode gear.
Hardmode Terraria kinda feels like an MMO, with adventurers looking more like they were just showing off with sillies rather than actually gearing up for a significant threat. It's hard to take a guy seriously when he's wearing a turtle and throwing donuts of light around everywhere. (Though I say all this, Cobalt Armour (with Hat) is my favourite armour set in the game, next to Meteorite)