I've seen all the Bond movies, dating all the way back to Dr. No. It has been years and years since I've seen any of the older Bond films though, so I would not want to pick a favourite without going back and rewatching them all to help rediscover my favourites.
I do really enjoy the last few Bond films featuring Daniel Craig though. I love the fact the films are much darker, and grittier, and tend to dive a little deeper into the actual psyche of James Bond himself. I feel that the recent movies humanize the character a lot more, rather than making him always appear as a heroic, untouchable entity who wins in all aspects of life.
One old Bond movie that I do recall being very emotionally striking was On Her Majesty's Secret Service - as he gets married and at the end of the film his wife is killed in a drive-by shooting. A very similar scenario happens in one of the newer movies, but I do remember thoroughly enjoying that old film and that it stood out from all the others for me.