I've only completed Persona 4 Golden, currently playing Persona 3 FES. I don't think any SMT game can come near to topping Persona 4 Golden for me.
My step brother has played a lot though, he is a big fan of Nocturne. I think his order of ranking goes Persona 3 FES > Persona 4 > Nocturne, although now that he has played Golden, that order might have changed.