Actually I like P5's the best. I mean I love coming home to Nanako, but I'm the type that doesn't like to be bothered when I come home so the "exchange looks" approach to greets and then going on my merry way suits my personality better. Also, there is no contest it has the best music of the three.
As for my favorite Shadow Self...Either Shadow Lisa, Shadow Kanji, or P2:EP Spoiler for FynnJoker Cursed Ulala