I really enjoy the Hammerklavier sonata, but it's always sort of struck me as an unusual "alien" sort of sonata for Beethoven. Although traditionally associated with the late sonatas, it seems quite different from the rest of them, except in the use of fugue that was a key hallmark of late Beethoven. Still, the Hammerklavier fugue is such a different sort of composition from the Grosse Fuge, despite sharing the key of B-flat.
Other late favorites include Op. 101 and 109, both to play and listen to. I love Op. 78 dearly, but for some reason, it is not a sonata I am as happy listening to -- I must play, it instead!

Actually, the same holds true for the early Pastorale Sonata, Op. 28, and the sublime E minor sonata, Op. 90.
I do very much enjoy the more famous nicknamed sonatas: Pathetique, Waldstein, Appassionata -- but for some reason, they do not speak to me as much as these other ones.