Lucifuge is, by far, my favorite Danzig album. It was also the first one I got, and I have a lot of great memories from that time, so nostalgia is probably a factor in this. The punch of the first three songs is just fucking awesome. I remember seeing Danzig on the 20th Anniversary Tour, and was ecstatic to hear Killer Wolf as the encore, as well as Devil's Plaything in the main set.
III and IV are tied for second. I love the mood on those albums, and the songs are obviously great. I do wish Glenn would put more songs from IV in his sets. While Bringer of Death is a good song, it's one of my least favorites from the album.