WW2 will always be my favorite wargaming subject. It features an unmatched mix of mobility, combined arms, and (obviously) worldwide scope. The cast of evil characters is so compelling -- Nazis, Fascist Italy, ruthless Stalin -- and the good guys are memorable too: Churchill and FDR. Tactical WW2 games feature the perfect balance of fire and movement. Strategic WW2 games feature interesting production and research decisions, and they sprawl across the entire globe, or (in this case) from the eastern US to eastern Russia, the Caucuses, the Mideast, and Northern Africa.
More modern conflicts are generally more one-sided: e.g., the Gulf Wars, the Falklands, Grenada. Or they're more quagmire-like: Vietnam. And modern weapons are, to me, less interesting subjects for a turn-based wargame: everything moves so fast, and there's fire-and-forget and auto-targeting, etc. RTS-style games, which I suppose suit modern warfare more, rarely grab me for long. I admire the Wargame AirLand series, for example, but it's never held my interest for more than a couple days. No modern air combat sim has ever grabbed me, but WW2 dogfighting is the best. Likewise, I'd much rather play Matrix's "War in the Pacific/Admiral's Edition" than any modern naval-focused game: the interaction of carrier and surface and forces and submarines fascinates me.
WWI has some interesting strategic aspects, but in general trench warfare doesn't fill me with excitement. Again, WWI aircraft just aren't as interesting to me as WW2 planes. Naval combat is slower, and there are no aircraft carriers. The American Civil War does interest me a lot, and I play ACW wargames regularly, but I still prefer the mobility and worldwide scope of WWII -- even just the war in Europe.