I'm also going to exclude the more "famous" favs that have already been listed. They are all very cool, and they are definitely among my favorites as well, but one I haven't seen mentioned that I really love is this one:
Superb detail, great likeness, and a very iconic pairing. Whenever I read the books now and I come to the parts where Sam is with Bill, this is what I see in my mind's eye.
Ringwraith on Steed and Gandalfax. Those are the only 2 SS/W pieces I still own. I display Gandalfax beneath the Rivendell print, and RWOS beneath the Barad-Dur print.
For me its Sam and Bill and like Robo says it probably has alot more to do with the book than it does the movie. Sam and Bill is just one of those few pieces that ties the collectibles both to movie and to book for me.
Just one, gawd...OK well seeing as I have to had to play save and sell more times then I like to think about about the one piece I could never part with is the Stone Trolls, still an amazing piece....
( I had written Urak Swordsman Bust, but just couldn't miss the Trolls )