My favorite anime opening credits was MADLAX. It's visually stunning, has a catchy tune, and sticks with you.
My favorite ending credits sequence is any one from Nana. All were great and the show did one of my favorite things, start the end theme within the show before the start of the actual credits.
As for my favorite OST, that's a hard choice. I think I'd rather not pick a specific. .Hack//sign, Nana, Macross Frontier, and Bleach are definitely high on my list though.
