I'm probably most proud of my Special Agent graduation coin because of what it represents.
I have a couple coins that have been hand-passed for work I've done that I'm very fond of. I have a personal challenge coin from a former NSA, a coin from CHP Air Operations from when I rode around with them, a coin from the Utah Governor's protection detail, a coin from the SLC mayor's protection detail, a coin from Coast Guard MSRT and MSST teams I worked with (including one they commissioned for catching their first narco sub)... I love the coins for which I have direct memories.
The coolest shape or design--there are some pretty cool anti-drug and anti-gang task force coins I have. Another I'm partial to is my coin from participating in a federal fraud task force--the design is a sword with the "all seeing eye" from the dollar bill (and... other places) set against a black backdrop. I call it my illuminati coin. There's a specific detail in the Secret Service that has a surfboard-shaped coin that I have as well.
There's also a few I can't really talk about that are pretty awesome for various reasons.