My favorite stage depends on the character I'm using, and who my opponent is. Generally, omitting who my opponent is, it's Final Destination for my Snake and Lucario, Battlefield for my Wolf and Ganondorf, and it heavily depends on my opponent for my King Dedede. But if I was to pick an overall favorite regardless of character, it has always been Final Destination.
Spear Pillar, while it is a horrible stage for competitive brawling, it is one of my favorites for FFAs, except when Cressilia is there... >_<