I have a few coming, but then I'll probably be set for awhile. It's hard to pick a favorite, but I'm a huge fan of Adm. Thad Allen's. He was the face of the successful aspect of the Hurricane Katrina response (when he was a three star) and the BP Deepwater Horizon oil spill response. My office got his coin shortly after I left for the oil spill so I missed my chance. This year was the 10 year anniversary of the spill and after watching a podcast about challenge coins, I emailed Adm. Allen and told him how I missed his visit and if I could have his coin. And in no time he said "sure, what's your address?"
I was also really intimidated by Adm. Allen. I'd kind of clam up when I'd run into him at HQ. Once I greeted him in probably 5-10 different ranks... that's how flustered I was (I had just said something not entirely appropriate for the leader of the entire organization as I was turning a corner with my coworker).
His coin was always one of the nicest I had seen, really clean and perfect. Adm. Karl Schultz was my last boss in the Coast Guard, when he was a one-star. He had been in our directorate as a captain too. I was happy to see him become Commandant and I really like his coin. It's huge, but what's hard to see is, it's really thick too (it's the big life ring).
First "big deal" coin I got was the Chief of Staff of the Army, Gen. Schoomaker. I also have a Secretary Gates and Chairman of the Joint Chiefs of Staff, Adm. Mike Mullen in there, who I met at the White House.
The weird thing about coins is, while commanding officers are cool to get, it's the deputies that are hard to pull down.
Class coins are important too. I'm actually surprised I haven't lost any, but they rarely move and once mine started building up, I was at CGHQ, where movement was more stable.