My favorite would be Zero-One because of its Targeting Scope ability and early All-Critical attacks. Favorite world? I would say the System Sectors. If that's not technically a world, then it would be Hollow Bastion.
*SPOILERS ABOUT ULTIMA WEAPON*
Ultima keyblade for its abilities, only thing I liked on Oath was the Undo ability. Ultima has Undo as a Level 2 ability which is almost just as good. And its Level 1 ability is Heavy blade so I love just laughing at large bodies and fat bandits Regen as level 3 is a bonus as well.
As for world, I'd have to go with Hollow Bastion Part 1.
My personal favorite world is Traverse Town. There's just something inherently fascinating about a dark, dingy city, lit mostly by neon signs, and whose residency is composed mostly of refugees from other broken worlds. There's just something about that place that I really love.
Favorite Keyblade is Leviathan, by virtue of being awesome.
i would have to say my favorite keyblade is the ultima weapon, because it's just awesome and amazinnnnnnnnnnn and i kick ass with it ;D
so yea anyway my favorite world's are Castle of Dreams for bbs, Wonderland for re:coded, and Traverse Town for kh1 <3 kh2 would be the world that never was and com would be castle oblivion. 358/2 days would have to be neverland and if they ever put in a world based on the disney movies, fantasia, and fantasia 2000 in one of the future games, that will be my ultimate favorite!!!
Zero/One (for now, I don't have the Ultima Weapon yet lol) because of it's All Critical level 2 ability. And my favorite world is Hollow Bastion part 2, because it's fun, but I really like playing the Score Attack in Castle Oblivion, cuz I like fighting Roxas