I'm not overly keen on the really early Depeche Mode albums, but their five run of albums - Black Celebration, Music for the Masses, Violator, Faith/Devotion and Ultra (my personal fav) is great - sadly brought to a crashing end with the dire 'Exciter'. 'Playing the Angel' was a decent return to some sort of form, but their last album 'Sounds of the Universe' underwhelmed me somewhat.
But out of the 3 bands they probably are my favourite, even if they haven't done an individual song that's as great as The Killing Moon or Friday i'm in Love.