Great to see so many varied answers and so many fans, growing up in Darlington in the mid 80s I felt like the only Depeche Mode fan. Really got into them with 81-85 singles collection which I must have bought four or five times in different formats, from the early days my favourite was See You, then post Vince Somebody and Blasphemous Rumours.
Played Black Celebration to death when I was in sixth form and first saw them
on the Music for The Masses Tour, the fantastic 101 live album comes from that period, from there I would point to Something To Do as a classic.
As I earlier posted overall favourite is Personal Jesus, but Violator as an album is an absolute masterpiece, Enjoy The Silence is epic and also love Policy of Truth
I Feel You from Dave’s drug days has grown on me and Walking In My Shoes says so much about that time, Ultra as an album is often ignored.
Their more recent stuff, past 20 years (!) also posts classics for me like Precious and Wrong and absolutely adore the latest album, especially Ghosts….