My first Castlevania was Circle of the Moon (GBA), great game by the way... I'd play it more but the cartridge's battery died out because I played the game so much...
Favorite? I'd say that it's a tie right now between Dawn of Sorrow and Order of Ecclesia. Both of 'em are fantastic.
I really want to get Aria of Sorrow and Harmony of Dissonance... -_-