I chose X1, X7, and X8 as my favorite Sigma forms.
X1 - I liked Sigma's cool and fierce look. Despite being simple at times, he is powerful and I like his attacks. His wolf form is fierce and reminds me of Braiking Boss's pet panther. Bonus points to Sigma himself for being inspired by Braiking Boss with doses of Sagat and Dictator Bison.
X7 - His gunner form is pretty fine. He can be challenging on hard, but I like the gun. Finally, his gigantic form combines the awesomeness of Braiking Boss, Shao Kahn, and Captain Falcon. The Braiking Boss part is already inspired into Sigma's design and character since X1, and this game is no exception. Shao Kahn's battle voice and green fireballs must have really inspired Sigma's green orb attack, especially in English. Finally, Sigma has his own powerful version of the Falcon Punch in his giant form. All awesome inside and out.
X8 - I am impartial about New Generation Reploids acting as imposters for Sigma, but I like the regular copy look. However, I do like the real Sigma more in forms, appearance, and attacks more than the copies of course. This time, the real Sigma only needs one regular-sized form to unleash beastly attacks, especially his sword attacks and having a barrier while attacking with energy rings. The real Sigma in X8 is probably my favorite form, with X1's regular form being a close second, and Sigma's X7 giant form a very close third.
All of Sigma's theme songs are great. However, I prefer the songs of X6's second form, X7's second form, and X8's real Sigma the most. Last, but not least, Sigma is one of my favorite Mega Man X characters.