* Meine Lieblingsstunde (literally: my favorite hour/lesson)
You could also say:
* Mein Lieblingsfach (my favorite subject) - This is better if you're talking about a subject like math or history, rather than a specific lesson within a subject.
The best option depends on the context. If you're talking about a specific class period, "Meine Lieblingsstunde" is perfect. If you mean your favorite subject overall, "Mein Lieblingsfach" is more appropriate.