Although I do like The Deathly hallows, Half Blood Prince takes the cake. The tale of Tom Riddle's past, Slughorn, Felix Felicis, Draco's reluctance to join the dark side and Dumbledore's ultimate demise is very enthralling. Prisoner of Azkaban takes a sweet third place.
Its a close one between 4, 5 and 6, but I think Order of the Phoenix takes it. There's a lot going on that year with the DA, Cho and the ill fated trip to the Ministry.