I think we're all naturally inclined to say ours is our favourite. Even with the downfalls, we've adapted to make ourselves "happy" in whatever local we're situated in.
When we look at or visit other countries, we either see the best of the best, or the worst of the worst and never get a critical look at the "nuts and bolts" of the location. When it comes to countries we only hear the best of, we are closed to everything else (Unless it becomes major news). (Thinking Japan here.. Everyone glorifies it's culture (while I personally am NOT a fan, and don't really see why anyone else is.) But right now, it's been given the dog-house treatment by Mother Nature.) On the opposite end of the scale we have war torn countries like Afghanistan that are always being promoted as bomb first, who cares about later. When realistically, there's a lot more positive going on than we know. They've actually gotten off the third-world country list and are ebbing out a nice niche on the bottom on the second world classification right now.
When we visit a country, we're secluded to what they want us to see for the most part, and when we are exposed to something less desirable, a lot of them are such smooth talkers that they are able to flip it into an over glorified lie. The saying goes, you can't polish sh*t, but Mythbusters have proved that analogy wrong, but no matter what, it's still sh*t.
As a Canadian who's well learned of other countries, either living in them, or knowing those who do, Canada's pretty cozy, but we've got our issues. The US is nice, but it's got this over cocky feeling and on a national level, the economy and standard of living are a little bit lower than what we Canadians have. On a critical level, I'm not going to say Canada is my favourite as I really have no clear way of making a call on that unless I spend a year in every country and experience the raw effect of each. But again, happy here. For a clouded view without heed or really evaluating the pros and cons, Costa Rica is quite nice. They may be a bit of a poorer demographic, but they always seem happy, the have a lot of natural tropical beauty and the people seem friendly.