Going for bands, rather than artists, makes this interesting (presume Springsteen & E St. Band don't count?) (what about Neil Young & Crazy Horse?) - OK, 'real' bands then - most listened to / most bootlegs:
Pink Floyd (Waters era)
UFO (Schenker & Chapman)
Genesis (as far as Abacab)
Rush (less enamoured after Moving Pictures - i know, it's an age thing!)
Pixies
Beatles
On the second tier, I'd have to also add; AC/DC, Doors, Eagles, Supertramp, Velvet Underground (Lou Reed), Jesus & Mary Chain & Tom Petty (what counts as a band / what doesn't?) (what about a band that only has one or two or the original members? (where do Fleetwood Mac stand? - what about Pink Floyd [only the name really...]?) (what about bands where there's clearly one or two prominent [songwriting] members?)
Pretty mainstream stuff here, but that's largely due to the longevity / output of the bands - there are plently of others, but just a couple of decent albums won't really get them onto an all-time favourites list (Guns n Roses). 'Favourite band' suggests some sort of longevity. [just removed Fleetwood Mac, cos, whilst they have the longevity, tbh I'd only count 3 or 4 of their albums (and they've been at least two different bands really)]
Like others have commented, I go through 'binges' - it's all one artist for a few days / weeks - then i move on. The above are, I guess, the ones i keep returning to.
I'll look for the best 'single' artist thread....!