Since GTA 2 has three disctricts, you guys probaly have one favorite. It is a hard choice actually, every area itself has it's own charm.
Downtown is like most "home" because it was the only map I was able to play when I first played GTA 2 in my younger years. I was 6 or 7 years old and didn't know how to come to the next levels (I knew there was atleast one more because of the gameplay movie that starts to play in the main menu). Here you can find Wellard and Michelli Roadster, but the lack of weapons both for the protagonist and the gangs make me feel like the map is just a prologue for the next ones. But the colors in this map are the best, it is so warm and nice to play it. The jobs are way to easy, even the red ones (Bank Van Theft, come on...)
In Residential I can find my way best, I think the gangs are the most optimal and the missions are actually really nice. The maximum police level of 5 is perfect, you will die if you don't respray your car but it is not like the army that'll kill you in 10 seconds. The Wang Cars is a nice side-mission. In this map you can find every weapon and the design of the map is really cool.
The Industrial is so cold and dark in my opinion, but I like the design of this map the most. The army level destroys a bit of the gameplay, you can't have an endless cop chase like in Residential. Really cool cars here, but why isn't there a "Foo Cars" side-mission? What is the Mad Island, why doesn't anyone say something about it in the game? A mysterious area indeed.
I have to say Residential is my favorite, which is yours?