It's a difficult one to answer, because for the most part I do have fond memories collecting for most of my platforms, otherwise I wouldn't have continued collecting for them.
For me, it's hard to deny the fun factor in collecting anything 7th gen and forward, just because it has always been so widely available and often discounted and that makes collecting more fun to me. Then again, when I got into collecting, a lot of classic Nintendo platforms were also widely available and heavily discounted. On the other hand, I never had a lot of fun collecting any SEGA platform because I struggled to find them, and when I did, it was either junk or priced higher than I wanted, and that goes for Master System, Genesis, Saturn and Dreamcast. It was just hard to collect these and very gradual, over the years picking games off one by and one and usually paying top dollar for the titles I wanted. That's less fun to me.
So as for right now I will say -
Favorite - Xbox 360. It was always so easy to find the titles I wanted, and pick them up for a thrifty price. Even now, it's a breeze to do whenever I decide I want to add another to the library. I even have my pick of condition, so that if I want all my games to be fresh and mint I'll hold off for that pristine copy, no problem.
Least favorite - Genesis. It's always been a headache to find the titles I actually wanted to pick up. Sure, finding Genesis games isn't all that hard, but find titles other than commons and shovelware is extremely difficult in most of those instances. You see a lot of the same crap, over and over. Like Combat plagues Atari 2600, you spot a Shaq Fu and a Desert Strike all the time, but you'll never come across an Outrun, or an Alex Kid, or Mystic Defender or something that's actually desirable. My Genesis collection has probably averaged 2 to 3 additions per year since I began collecting because I generally don't pick up Gen titles online. Instead, I roll the dice with game hunting and usually find nothing notable.
Lots of people will say Saturn, generally because of price. That doesn't completely kill it for me, because I have such a fascination with the titles available on the system. I kind have a respect for the fact that they're genuinely hard to find, very popular, and very expensive for that reason. Same deal with Jaguar collecting. It's like pulling teeth, but still satisfying in a way.