I don't usually have a single favorite anything, but this one's an easy answer for me: Patrick O'Brian's Aubrey/Maturin series of naval adventures set in the Napoleonic age of sail.
You may already be familiar with the series as two of the books were combined in one movie, "Master and Commander, the Far Side of the World". The first book is Master and Commander--excellent. The audio books are read by Patrick Tull, who in many people's opinion is the one of the best audio book readers. He is my favorite. It is literature of the best sort, richly developed characters, broad scope, exciting, penetrating examinations of human relations.... I've listened to the series twice through now and they will always be deeply associated with my present life in a foreign land.