Halo, by far. It's funny, because until pretty recently I'd convinced myself I hated it for some reason (put off by the hype, mostly). But once I actually gave it a chance, I discovered that it's fun as hell.
CoD and Killzone, on the other hand, just aren't for me. And Call of Duty is published by a bunch of dickwads. So:
1. Halo
2. Killzone
3. Call of Duty