I don't know whether or not I consider its story to be my favorite because that's extremely tough for me to choose, but I really like the story direction that Halo: 5 is taking. What I like in particular about Halo: 5's narrative was finally diving into the sentience of humanity's smart AI, as seen with Cortana and the Created. I'm fond of stories that explore this kind of narrative like Fallout 4, Bladerunner, Star Trek: The Next Generation, etc. Halo has already briefly touched upon these topics in the expanded universe back in 2007 when the franchise was still owned by Bungie. I can remember the AI, Sif and Mack, from Halo: Contact Harvest in particular. But I'm happy they're bringing this topic to the foreground.
Heresy! Halo 5's narrative sucks! It has all of the necessary ingredients for a great story, I'll grant you that, but the structure of the narrative is absolutely atrocious. When the next Halo game is released, the weight of your heresy shall stain your game controller, and you shall be left behind.
Also, for me, it's a tie between Halo: Reach and Halo 2, although I'll give a slight edge to Halo 2, as the Arbiter's character development throughout the story and his parallels and contrasts with the Master Chief at the beginning and toward the end were masterfully written.