Well, I haven't bought many sets, so I am including what my brother bought as well.
First set: Bordakh
First Titan: Nocturn
First Small Set: Tehutti
First Favourite: Nuju (Metru)
Overall favourite: I love them all, but I'd have to say Ekimu / Vorox / Nocturn
First Least favourite: I don't have one, but most would say Atakus.
Overall Least favourite: Again, I don't have one, but most would say Skull Scorpio.
First Vehicle: Never got a vehicle set.
Most Recent Set: Vorox
Also, just for fun, I'll tell you my collection in order of when me/my brother got them
Bordakh, Nuju Metru, Tehutti, Onewa Hordika, Whenua Hordika, Vohtarak, Hakann, Thulox, Ehlek, Nocturn, Atakus, Gorast, Skull Scorpio, Uxar, Umarak, Strakk, Ekimu, Lewa Master (2015), Izotor and finally Vorox. Also the next set I get will most likely be Nidhiki.