Originally, I was thinking Aliens would be my choice here, until Tillane reminded me of some other movies I'd stopped thinking of as sequels. But they really are sequels, and that changes my answer to The Empire Strikes Back. Not only is it my favorite sequel, it's my favorite of the Star Wars films, and it also has my all-time favorite John Williams score.
It's a bit darker, doesn't end happily, has a much bigger light saber fight than the first movie, makes good use of my all-time favorite themes of betrayal and redemption, trust and loyalty, love and friendship. Everyone gets in trouble. There's more quotable lines from this one (including an R2-D2 whistle that my family always imitates, and yes, that counts as a line), more Darth Vader, Yoda is still a REAL creature and has presence, and yes, I prefer puppet Yoda to CGI Yoda for exactly that reason, though they finally started to get the CGI right in Revenge of the Sith. C3PO hasn't been turned into an idiot yet, and he's still quite useful to have around. Same goes for Han (that carbon freezing sure did mess him up). Not to mention the movie could win for the Asteroid field scene alone, and for "No, that's not true, that's imPOSSible!" There's nothing I don't like about this movie except them switching pronunciation of Han at the end... never did understand that.