i see a problem in asking for THE favorite movie, since he named several he did like (always after claiming how he disliked movies in general). all the mentioned above were once stated to be okay by him (or his alter ego).
But I think you may refer to a scene in a novel (was it 'Women'?) when Chinasky is asked about his favorite movie. I won't look it up now, but seem to remember, it was either 'Who's afraid of Virginia Wolf' (mentioned already) or a fake name for 'Eraserhead' (also mentioned before).
You are probably right about this questions...sorry.
Actually, I was thinking of "Lost Weekend"....seem to recall in Hollywood Sarah/Linda had said that was Hank's favorite movie.