My favourites are Pink, Fire and Bubbles, though I like Crystal and Columns nearly as much as these three.
As Steaver said, Fire is great because it's so versatile -- you can make rocky mounds, brick walls or pillars, or mix them. And the flamethrower trap is SO COOL!!!
Pink is great because you have the right angles, which are the most useful types of terrain piece for level design, but it isn't as boring as Brick. And the Bubbles style is great because it's by far the best looking.
I don't like Dirt, Rock and Snow much, because it's hard to get straight vertical surfaces, which you need if you want to use climbers. And also because there's not much variety in any of these. Snow is the one I like least, but I still use it -- I like the feel of a set that uses lots of different styles.