Neverwhere is probably my favorite Gaiman, possibly because it was the first one I'd read by him. But I think I've reread it more than any other book, and I always enjoy coming back to it.
Despite it being my favorite, it's probably not his best. (Sandman is just...amazing, and I think he really hit his novel-prose stride with American Gods.) Likewise, even though I voted for Neverwhere, I can't say I'm surprised Last Unicorn's coming out on top (thus far).