Joke answer: Zelda: The Wand of Gamelon (which genuinely was way better that I ever expected, but calling it my favorite of 2020 would be taking the piss)
If it counts as a video game, I'd probably say Umineko no Naku Koro ni. I'd heard about it here and there for years, but a podcast I follow talking about it at length combined with all the time in the world due to quarantine lead me to finally take the plunge, and it might be one of my favorite stories period now? It does so many things so well, it's very rare to see a story tackle so many genres and themes and stick the landing on every single one.
That said, it's also a visual novel with no player input, so if it's disqualified, I'd probably have to say the Halo trilogy as a whole. After being a weird FPS boomer about it for years, I finally checked it out and it's just a shockingly good time from start to finish. The whole trilogy is good, but if I had to single out a favorite, it would probably be 3. Fire Emblem: Thracia 776 also gets an honorable mention. I went in expecting a brutally hard game, and it kind of is, but it's also much more of a fair challenge than its reputation would suggest, and it just does so many weird, interesting things that I can't help but love it.