I did Julius Caesar at school and haven't touched it since. Not an especial Shakespeare fan, but I've read a few and some of them have been quite memorable.
I saw Taming of the Shrew at Stratford (the obligatory school visit) with the late Alan Bates playing opposite Judy Dench, and then I saw another production a few years ago with Nicholas Smith (Mr Rumbold) playing Kate's father - he was brilliant!
I also studied Richard III under the tutelage of Peter Davison, who edited its first quarto edition and really knows more about that play than a lot of people, so I couldn't have learnt it from anyone better.
Think my two favourites, though, have to be 'Richard II' for its themes and imagery, and 'Measure for Measure' for sheer emotional impact.