Since I can't choose actual favorites, I will instead go by two events I'm most fond of as of right now: Solar Eclipse and Martian Madness.
The Solar Eclipse event is pretty nice. Introducing some unique AI, and more rewarding weapons than most other events. By rewarding weapons I mean: Broken Hero's Sword, and Deadly Sphere Staff. It does have a few issues: Some enemies are hard to kill, and some loot will probably go unused.
I think the Martian Madness event is pretty exciting compared to other events, since it introduces new enemies with very unique AI and new weapons with a twist on their functionality. Again, the music is sick as always. The only issue I have with this event, is that the player can accidentally come across a Martian Probe without wanting to, and now there's an unwanted event happening.