Bottle Rocket's my favorite. Followed closely by Rushmore. I haven't liked his recent movies nearly as much, although I thought The Squid and the Whale was very good and definitely had the Wes Anderson touch.
The Royal Tenebaums is hands down my favorite; beautiful visuals (as always), that unsuspecting, gentle subtle humor... always leaves me smiling.
Also, the library book theme, kills me every time and the cast flat out rocks!
The Life Aquatic was a little bit of a let down for me, the visuals might have been a step up from Tenenbaums but the story just wasn't there for me.