It's tough to pick one. There are things that happen in every month that I look forward to, but I can eliminate the winter months from contention because the cold and gray that accompanies that season gets to me after a while.
I love the warmth of summer, getting outdoors and doing things, but my favorite time of year to be outside is early fall, when the temperatures are still warm enough to enjoy and the colors are in peak. So I have to go with October as my favorite month. I spent two weeks in New Enlgand during October of 2002, and I have never seen such sustained natural beauty like I saw then.
October is also when the majoe league baseball playoffs occur. As a longtime Chicago Cubs fan, you might think I would hate this month. It can be a little bittersweet at times, but I love baseball, and the World Series is the sporting highlight of the year for me.
I'll go with May as my second favorite month. For the most part the cold weather is gone for another six or seven months, the baseball season is in full swing, and I can get out and play golf on a regular basis. It's a great month, knowing that summer is just around the corner. My birthday is in May as well, though that is not much of a factor as to why I like it.
Worst month (did you ask?) is January, hands down. I am crying just thinking about it.