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I absolutely love to get my shinies on special balls! The ones I usually go for are Heal, Luxury, Premier or Beast Balls for them. As well, I also try to get them in another one if the Poké Ball is a great match in style (A.K.A. Spinda in Nest Ball).
My favourite ball, or one of them anyway, is the Cherish Ball. I understand its exclusivity being a ball reserved to events only, but damn I love its classy design. Such a shame, but as said has sense.
If I have to say my least fav ball would be the Super Ball. I don't like a lot the light blue with the red stripes, however there are some depictions where the blue is a strong dark (like in Pokémon GO for instance), and I do like those ones, gains a lot if you ask me!