I've chosen Turok 2 as my favourite simply because that's the one I've put most hours into. I don't know how much of my life I've thrown into that game but it's a lot!
The first game is super cool and I love it as much as SoE but I just haven't spent as much time with it.
I'm ashamed to say that I've never completed Shadow of Oblivion (so please don't spoil the ending!). I got it at the end of my time with the N64 which I then traded in to get my 'Cube and then eagerly awaited Evolution.
Evolution was fun enough but I must admit I was a little underwhelmed... I suppose, at the time, I just presumed that it would push the GameCube as hard as the first 3 games pushed the N64. And those bloody loading times... Grrrr! I also really, really missed the wobbly camera when Turok climbed things. In the earlier games Turok felt like he had real heft and weight behind him. The GameCube game just didn't have that weighty movement. Evolution has a really lovely soundtrack though. I love it and still listen to it on a regular basis.
The Game Boy (Advance) games were just too hard for their own good. It's a shame because I think there was a lot of potential for a great 2D series of Turok games. GBA Evolution isn't too bad though. Again, the music is great.
Turok '08... Well, I don't really count it as much of a Turok game. It's just too generic and feels like a me-too kinda game. Even Turok's haircut screams Gears of War. Why couldn't Turok look like bloody Turok!? Disappointment aside, I suppose the game's okay but as has already been mentioned it's just not a good Turok game...