Note: I'm more making this my favorite band ever
It's a debate between Malice Mizer and Cradle of Filth for me.
I LOVE Cradle of Filth, even though their only ok live I still love them. Dani Filth is turly poetic with his songs, reading the lyrics...his vocabulary it's amazing. Plus it's a mix of Black and Goth Metal. Their Keyboard work is amazing. Also if you listen to bands like Demonic Pleasure, Dimmu Borgir a lot, with just the constant growling, Cralde of Filth adds a little more spice with the shreiking (On his CDs, in live he doesn't shriek AS much yet still when he does it, it's good...well it's like what you'd see from Dusk and Her Embrace, not Midian lol). I love their CDs, only one I don't have is Total F***ing Darkness. I want it...
As for Malice Mizer, I never seen them live, but their style, their music I just love it. I won't lie, Malice Mizer is an inspiration for my dress style along with make up. I LOVE the whole Victorian look. Before you ask, Gackt or Khala, I loved both, even Tetsu was good. Their music work is amazing. I'm also still stunned that Mana is actually a man, he really does a great job with his style and make up. I only bought one CD, download most of their songs or watch videos (Seen videos of them live...omg...just great).
As for other bands I love, too many to list