I have a few. My all time favorite is from my hometown bakery. They call it a dot, it's a chocolate frosted yeast donut with a huge dollop of frosting in the hole, so good.
I love pretty much anything from Krispy Kreme - it's so rare that I go there, I just love them.
Last summer I spent a week in NYC and found this donut shop online. They change their flavors seasonally, but when I was there they had a crème brulee donut filled with corn pudding. O.M.G. The absolute most amazing donut I've every had.