Do you really mean "favorite" or the one most commonly used? I can't afford any of my favorites, which are estate bottled Tuscan and Umbrian oils.
For just every day purposes I actually use the Italian oil that Costco bottles under their Kirkland label. Also Colavita. There are 2 very nice Greek oils available from a grocery in Greektown on Halsted, whose name suddenly escapes me.
Also, L'Appetito (next to the Hancock) now has a line of oils bottled by region and also displaying the harvest dates. A bit more expensive, but they make experimenting fun. Also, they have the foil-wraped Ligurian oils which are lovely. A step up in price, but worth it.
My actual "favorites" are a California oil that Zabar's carries and I get when I'm in NY, Mancianti (terrifyingly expensive Umbrian oil I haven't had in years) and some Tuscan oils from great Chianti estates that I haven't had in years.
If you get to Middle East Bakery in Andersonville, you can also experiment at the cheaper end, as they have a variety of Greek, middle eastern and spanish oils. However, I find that at the low end (price-wise), outside of Italy, they all have a hint of flavor and aroma and not that much more. They're still healthy though.
Treasure Island also has a pretty good selection to experiment with. As does Whole Foods, though the prices are nuts. People's Market in Evanston as a decent selection at slightly less scary prices.
And of course there's Trader Joe's with a variety of oils under their own label, as well as branded. I've tried a few and they're not bad, but there seems to be more variation in the packaging and label design than the product inside, which is decent, for the most part, but not thrilling.
"Strange how potent cheap music is."