sob Azula doesn't really have a favorite place. Normally it'd have been the Fire Nation royal palace, but everything with Ozai kind of ruined it for her in a lot of ways-- so while it's probably still technically her favorite place, it's only so by default, because she doesn't have any other favorite places.

... Unless, of course, the answer "anywhere where Cuddy and/or Lilith are" is acceptable. :P Then that's her favorite place.