When I was a mail artist at nervousness.org, I would participate in numerous mail art projects where zine submissions were requested. In return, each participant would receive a complete copy of the zine. This opened my eyes to a lot of new techniques, ideas, and inspiration.
I always looked at zines as mini-art journals I did not have to return to the artists working on them. For example, when you work on a traveling art journal project you cannot keep the art journal you add a contribution to because it travels back to the original owner. In this case, you get to see what everyone has done in addition to keep copies of all the work.
I do not have a favorite in particular and, to be honest, I would love to get involved in mail art again so I can see what else people are doing. I miss mail art communities that actually work without drama and hassle, but they seem to be few and far between. So, in the meantime, I will admire the collection of zines I have.