I liked all of them, and they were all brilliant in their own ways. They were very different from each other too - each experience was unique, so comparing them is quite hard. Honest Hearts had possibly the best explorable area, Zion was beautiful and I loved the Survivalist's story. OWB was the funniest, I was entertained through the whole thing and it had a really unique, wacky theme that you can't get enough of. Lonesome Road was very interesting in it's own way too, and it had hands down the best boss battle in the entire game. One that you can actually call a boss battle. The confrontation with Ulysses is up there as possibly the most epic event in the game.
But Dead Money takes the cake for my favorite DLC. It was brilliant - it was like a movie. I loved every character and their backstory, and how dynamic they were. It was full of tension and you had to actually scrape by to survive, it catches you off guard at first but it has that survival feel to it that you end up missing when you're done.
Most people, as did I, just get scared from the lack of supplies, amount of deadly obstacles and the difficulty that they try to finish it quickly and don't really pay attention to how brilliant the DLC and it's story and themes, most importantly, actually are. Once you get through the initial surprise and scare of the Ghost people and get used to reacting to the radios quick enough, you'll realize how great this DLC really is.
It really hit me the 2nd time I played it. You should definitely replay it. The Sierra Madre is one of the most interesting and memorable environments with a interesting story.
_________________A secret message to the chosen ones: