When I say your favorite and least favorite consoles to collect for I mean the actual experience you've had with collecting for a specific console, not necessarily if that console is your favorite or least favorite.
Here are mine.
Favorite: PS2 - You often hear stories of people who got into collecting for a certain console at just the right time when barely anyone was interested in that console, the games were everywhere, and most of them were next to nothing given the lack of demand. That was the PS2 for me. I got into PS2 collecting in 2010 at that time when the PS3 had been out long enough where everyone was focused on that and also this was before video game collecting got really popular. I had many spots back then where I regularly found cheap games and I found countless hard to find PS2 games for just a few bucks each. Very few games in my PS2 collection were bought at market value at the time, and there are countless doubles of games like Haunting Ground, Kuon, and other rare titles I found for next to nothing. Being able to find these these games so easily and so cheap made collecting for the PS2 a really good time for me.
Least: NTSC/US Saturn - Yes, I just began collecting for the US Saturn again and I'm already being reminded why it was so challenging and frustrating when I first tried collecting for it back in 2008. Let's get the obvious out of the way; US Sega Saturn collecting is very expensive and on top of that the games are incredibly scarce and hard to find in person. This pretty much means that if you want to collect for the Saturn, online resources such as eBay, Amazon, Facebook Marketplace, and other sources like that are your only real option, unless you want to be incredibly patient. I went back into Saturn collecting knowing this and had accepted it, but what I forgot what what kind of other crap goes along with mostly relying on online sellers to buy for this console. For one, it seems like most sellers who sell Saturn games either don't realize or don't think about how fragile the cases are and ship them bubble mailers or without proper insulation and they arrive to you in pieces. The other aspect of relying on online sellers is trusting them to describe their items accurately and truthfully. I bought two lots of Saturn games this past week, one arrived mostly as described, but the other arrived and nearly all the games were in fair or poor condition even though they were all described as very good. This is eerily similar to my experience back in 2008 when I actually got ripped off on a copy of Panzer Dragoon that was in terrible condition despite it being described in excellent condition. At least now I have ebay buyer protection, but back then I got screwed out of my money. But anyhow, so far US Saturn collecting has been a bitch and almost more of a headache than it's worth. I'm sticking with it, but I hope that my experience and my luck changes with it in the near future.