I have bias towards the first movie as well if only because Mewtwo and nostalgia power, but I really like Spell of the Unown, Pokémon Heroes, and Lucario and the Mystery of Mew. Heroes is a weird one, though, because it doesn't have that deep of a plot compared to the other two, but Altomare was just such a nice place (being based off of Venice doesn't hurt), and Latios and Latias were really amazing non-telepath Legendaries, oh, and Annie and Oakley were pretty fun. Also I think was the second Pokémon movie I cried over outside of the first film, like holy shit.
Lucario was mostly just because of Mew and I love Mew to death, but there was some really cool lore introduced that I'm a sucker for, and Lucario wasn't that bad in the movie for a non-Legendary. And of course, it was the last time the original 4KIDS dub actors were in it together, so there's some sentimentality to it.
Spell of the Unown I think is the only movie where Ash in a fit of rage drove the plot through walls and kept going due to how extremely personal the events were for him. 2000 had him just kinda be dragged/stumbled into the role of a hero, but in the third film, he actively chose the role if just to get his mom back and fought his way through. Molly being the antagonist makes her one of the most interesting characters of the series, and I'm still debating on who's more tragic, her or Mewtwo. Oh, and Entei was fucking amazing despite being a figment of her imagination. Maybe I cried over him in the theater, I don't remember. Maybe it was my friend who did.
Pleasant surprises were Temple of the Sea,