Ugh, I don't know if i could really say i had a 'favorite', so to speak. A lot of versions have had their pros and cons.
If I had to pick an -absolute- fave, it would likely be the XTAS Gambit, since that's what clued me into the character in the first place. Everyone else was Wolverine or Cyclops... I was always picking Gambit. The only thing I really didn't like a whole lot was referring to himself in the third person, but I guess I got used to it.
After that, well it really depends on the writer. I think I'd read any Gambit written by Claremont, Nicieza, Asmus, and Layman. I would put PAD on the list, but with him it was either really great or really meh, then blaming 'Gambit' fans for not buying more books was a no-no.