A few years ago I stayed with my very good friends Eve and Keith at their home in Pasadena, California. A short walk from their house is the Norton Simon Museum. I'd never heard of it before, but spent a very happy day looking at the hundreds of exhibits of art, ranging from the 14th to the 20th century. It's particularly strong on the Impressionists and on Asian art.
But there's one I love more and that's the Musee D'Orsay in Paris - where the art on the walls is not the only attraction. The building itself is fantastic - a former railway station terminus, in the grand "fin de siecle" style - and they have the best collection of Impressionist art that I've seen.
Mind you, I've yet to visit the Guggenheim, or the NY MoMA, or the Prado, or the Uffizi...
If you're ever in Pasadena or Paris, you know where to go.
UPDATE: Actually it's difficult to beat the Hermitage in St Petersburg for sheer scale and variety, but it's so big that it's difficult to get a feel of its overall flavour. So despite its fantastic treasures, I can't say it's one of my favourites.