EDNOTE. As Mark Dintnfass points out "finest"  and "favorite" may be quite different things. VN once observed LOLITA was his favorite; INVITATION TO A BEHEADING--his most esteemed.
M. Mulhern provides the coolest answer.
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1. Pale Fire
2. Speak Memory
3. Lolita

d. johnston
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1. Sebastian Knight
2. Ada
3. The Gift
r. james
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1. Pnin
2. Lolita
3. Laughter in the Dark
(4. Transparent Things
 5. Pale Fire
 6. Ada)
 Robert Rabiee
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Finest and favorite are not the same thing. The finest (richest? most resonant? more blissfully aesthetic?) is "Lolita," I believe, but my favorite is "Pnin." If art, as Professor Lake teaches, is the naturalization of man-made things, it is VN's most fully naturalized--his most fully human--of the novels, or of the English-language ones anyway.

-- 
Mark Dintenfass
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No scholar, and not even a reader of all Nabokov, I list

Pale Fire
Lolita
Speak, Memory

Nobody invited me to go on, but...
Pnin
Glory    (Why doesn't anyone ever talk about this?)
Mary Krimmel
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My top three are:
Ardis
Camera Lucida
Dr. Olga Repnin
 
M. Mulhern