!!!HIMMELSSTURMER SPOILERS!!!
World 4. Definitely. I think my signature speaks volumes in that regard.
The rain effects were awesome, but the lightning was such that if you weren't paying close enough attention, it would scare you, coming out of nowhere.
Conceyta also messes with your head.
Warning: Spoiler!Not only is it the target planet, but the manner in which Windgeist appears, and the message that shows up in red on the information database prompt that appears before every boss, makes you think you've reached the end of the game, and that this is it.
Not.
Depending on the amount of secret keys you have, it'll lead to a bad ending or a good one (I love the lore) - and even then, if you're still not sure of what's going on, you still won't know that the bad ending isn't the real one.
I liked Gota IV and Thesis 5, though, too.
I don't really have a favorite boss (I like them all), but my favorite sub-boss would have to be Disbeliever in World 4. That thing's just a monster, and I'm pretty sure its attack has the highest damage output in the game.