Chapter 3 was my favorite because I loved the riddles at Boo's Mansion, and the adrenaline rush when running from Tubba Blubba. Also it contains Gusty Gulch, which is my favorite song in the entire soundtrack.
Chapter 2. I loved the adventure of it all plus I'm a sucker for Desert themed locations. Finding and unearthing Dry Dry Ruins was awesome and reminded me of Indiana Jones. Then the ruins themselves were spooky with Tutankoopa's warnings coming about every now and then. It was suspenseful.