My favorite moment must have been Roxas's part in the beginning of KH2.
Why you ask? Because I didn't really like KH1 that much. Don't get me wrong, I "liked" it, but I didn't love it. It was probably the bad camera controls or something like that. Nevertheless, for some reason I bought it when it was like a week or two old. T'was a rainy Saturday, the following Monday would be school-free and I wanted a videogame to play over the weekend, so I just bought it. Then I played it, without having read a single thing about KH2 before. Somehow, I just loved that slow paced, mysterious part about Roxas, Twilight Town and all that. I was really sad when he had to go back to that stupid Sora in the end of the prologue. Then somehow, It was okay. I was really curios about everything in the game and I loved the story, with the mysterious Org. XIII e.t.c. After having finished this game, I played nr. 1 again. Then it was suddenly much better.
My least favorite part about KH? Hmm...I'd say it's the whole, this whole world sometimes feels fake. I'm not talking about a certain Disney world, rather I'm taling about the universe in KH in general. Sora's responses and so on, they just seem too unrealistic sometimes. That along with the cheesy dialogue. God, if they could just FIX THAT.