I've seen all five, and I honestly can't pick a favorite, although Ray is far away my least favorite of the lot. They all have their own distinctive qualities. Aviator has the terrific scale of an epic, Ray has Foxx's unbelievable performance, Million Dollar Baby has the thought-provoking drama, Sideways has the quirky but deep characters, and Finding Neverland has the genuinely sentimental and emotional story.
If I had to pick, it'd be The Aviator.