For books, Animorphs is my favorite series. There are a few tv shows, comics and video games that rank up there with it, though. Metalocalypse, JTHM, and Morrowind respectively.
LOTR comes a close second, with HP a third, even though I hated the last book. I don't count things like Goosebumps to be a "series", since they are modular and don't have a continuing story line.