It's impossible to pick a favourite. Actually is one of my all-time favourite albums by (probably) my all-time favourite pop group.
It's a Sin is a magnificent, heartfelt, gloriously over-the top epic (also a number one single). You've already mentioned What Have I Done to Deserve This? (cruelly denied the top spot it so richly deserved), but I also particularly love the scathing satire of Shopping (taking aim at Thatcherite privatisation) and the devastating melancholy of I Want to Wake Up and King's Cross.
My only criticism is a non-criticism, and that is I prefer the single mix of Heart (their fourth number one single in the UK). The video (which uses the single mix) is hilarious too, and features Ian McKellen as a vampire. Here's the single version on the BBC's Top of the Pops, circa 1988 (when the single hit number one).