Special Effects, hands down, is my favourite brand. It lasts ages in my hair, and the colours are always very vibrant and true to expectations.
Adore is second (pretty much because the reds have practically no rub off after the first wash), and Directions and MP tie at a distant third.
Manic Panic for me.
It just seems to really agree with my hair. The colours always come out just right, it's a good consistency for application, it lasts for ages and makes my hair feel absolutely glorious.
I've tried various other brands (SFX, Directions, CC) and they just don't work as well.