Foreword: I've been a pro mechanic for a long time, both in shops and as a race wrench, so I have many sets of hex wrenches that I use for various purposes. Maybe someone can have a single "favourite" set, but I really don't think even home mechanics can really have a fighting chance of getting everything done with just one set. Professional mechanical should have at least a few. These are my favourites of the ones I use regularly.
Beta 951 Sliding T-Handles: These are the ones I reach for first, and if I had to pick a single favourite set, this would be it. By far the most versatile and appreciable in their design and construction. I have them in 2mm through 8mm, and a Torx 25. If you like the sliding t-handle design, but don't want to fork over this kind of cash, Pedro's makes a pretty nice looking set, as well.
Wera 950 Hex-Plus Multicolour L-Key Set: I don't like to use ball ends very much, but sometimes they're a major asset, and at least one set of L-keys is essential for getting into tighter spots. The "Hex-Plus" function on these I though might be a bit of a gimmick at first, but it turns out to work very well. I mostly like that these have round shanks which makes them very stiff for good torque transfer. The colour coding is kind of nice, too.
Park AWS-1 3-Way Hex, 4/5/6: I use these pretty much exclusively for doing full nut/bolt checks on bikes. It's just faster to switch between the three main sizes on this tool than any other. I'm not really married to Park ones, although the glass fiber PA6 handle tends to grip nicely when my hands are oily, and they've been solid on the whole. I might try Unior next.
Bondhus Short L-Keys: These are just nice to have as another option to get in tight spaces where there isn't much clearance, especially since they don't have a ball end. Plus they're cheap. Cheap enough I don't mind cutting one down for a job if I need to. Wera makes a similar set with their Hex-Plus feature which I'll probably try next. Also under $10.
Park AWS-10 Folding Set, 1.5-6: I tend to have a few sets of these in various tool boxes/bags. It pretty much crams more tools into a smaller package than anything else. Handy if I don't know what size I need to grab, especially in the field. Good to lend to a pal when they doesn't know what size they need. I like the construction of them with dividers between each size along the arbors. It's a re-branded Bondhus tool, but these are just easier for me to get since every bike shop I've worked at keeps them in stock.
Wiha 1/4" Insert Bits, 2-6mm: I always keep these handy for use in either my cordless drill, cordless impact driver, or William WRST-4 ratcheting screwdriver. Makes much shorter work of running down long screws, especially if they have a stiff thread compound on them. Again, Wera makes a Hex-Plus version of these that I'll probably pick up next. I really like that Hex-Plus!
1/2" Impact Rated 8mm Bit Socket: I use an impact gun quite a bit, mostly for bottom brackets. But this bit makes removal/installation of crank bolts much faster. It has cracked a few seized bolts I couldn't get by hand, and some seized pedals, as well. I also use a Shimano square-taper crank extractor with an 8mm drive, so this will actuate the crank extractor. The impact with this bit, the right crank extractor and an impact rated BB socket makes square taper BB replacements go by really quick.
