Rocky I and II play out like one big movie, but I would have to say III is my favourite. Paulie and the pinball machine, the boxer vs. wrestler exhibition with Hulk Hogan, Mr. T, Burgess Meredith's death scene for Mickey, Apollo returning to train Rocky for his rematch ... all good stuff.
Part IV would have to be my 2nd favourite Rocky film. Alot of fun ( the "No Easy Way Out" montage is totally awesome!

), and Dolph was a total badass as Ivan Drago.
Rocky Balboa was a good way to end the series. Much more so than the lackluster Part V, but it's just too bad there wasnt any cameo's filmed with Mr. T and Dolph reprising Clubber Lang and Ivan Drago. That would have been pure gold, though I've heard a Mr. T/Clubber cameo came close.