I rarely eat donuts anymore because I've developed a gluten sensitivity (possibly Celiacs), but there are a few I've grown to love over the years.
Plain glazed donuts from Shipley's in Texas. (The donuts are ok, but the kolaches are where it's at.)
The St. Paddies Day donut, a March specialty at one of our Cleveland area Irish bakeries. It's a yeast raised donut, filled with Bailey's Irish Creme & iced with a Guinness Irish Stout chocolate ganache.
The Paczki. A filled Polish donut popular in the Cleveland area, very popular on Shrove Tuesday/ Fat Tuesday before Lent.
The Beneigt from Cafe Dumond in NOLA. There's not a donut better as far as I'm concerned.