My favorite film is Kodak Tri-X (400TX), period. To me it's the most flexible film I've ever used and one of the most beautiful. I like that I can put a roll in a camera whether it's full-on noon sunlight or a candlelit room at night and know I can shoot it at almost any speed and pick a developer and processing system later that will give me usable negatives. I've shot it when I could have used color film. I've shot it when I could have used a slower film. I've used it when I could have grabbed a film intended for low light like Delta 3200. I've never been disappointed or regretted using Tri-X though. HP5+ is Ilford's high-speed B&W film equivalent but I enjoy Tri-X's tonality and grain structure more even though HP5+ is a bit cheaper.
But if I want B&W film with lower grain and superb tonality when there's more light, I'd grab Ilford FP4+ 125 which is also just as cheap as HP5+ 400.
For slide work, I'm always thrilled by Fuji Velvia 50 even though its death sentence is scheduled for later this year when Velvia 100 replaces it (and I'm sure I'll be happy with that film).
For color negative work, it's a bit tough. I can't process it at home which means I can't pull or push process it for free when needed so I have to choose based on light levels. It almost always comes down to either Fuji NPH 400 or Fuji NPZ 800. Both are forgiving, have wide exposure latitude, have fine grain for their speeds and scan into a film scanner well.
I don't really like Kodak Plus-X 125 and it's for no apparent reason. It's a good film! I just like Ilford FP4+ 125 more so I have no more use for Plus-X. I don't like many of the consumer grade color negative films you buy at convenience stores.. the negatives just have a 'cheap' look to them, in my opinion. I don't like the chromogenic B&W films like Ilford XP2 so far... something about their look bothers me and I can't put my finger on it. Surprisingly, I've shot a handful of Fuji Provia 100F and am a bit bothered by it. Grain is tiny and colors can be nice but that occasional blue color cast makes me nervous to shoot it often when there may be an important photo on the roll.