If I had to pick just one favorite King's X album, it would have to be Dogman (1994), just because it's got some of their coolest and heaviest riffs. Fool You is just a fantastic song, and Complain has got some seriously witty lyrics.
After that I would put Gretchen Goes To Nebraska (1989) and Faith Hope Love (1990) neck-and-neck for second and third place. I also particularly like Ear Candy (1996), Black Like Sunday (2003) and Ogre Tones (2005). I actually haven't heard the brand-new XV yet, but I will correct that situation as soon as I possibly can!
There are also other scattered songs throughout their catalogue that I have a fondness for, like Shot Of Love, Everybody Knows A Little Bit Of Something, The Burning Down, I'll Never Get Tired Of You, Lost In Germany, She's Gone Away, Scared, Ocean, Little Bit Of Soul, False Alarm, Believe, Get Away, and many more...