When there is a fairly short list of possible answers, "Which" works best for me, so "Which is your favourite season?" With festivals, it would depend on whether or not you know that the person answering the question goes to a small number of select festivals every year and you want them to choose a favourite from that list. If so, then "Which" again.
When there is a huge number of possible answers, I would probably go with "What" - What is your favourite film?
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