One of the things that I have found since I began collecting sizzix items is that there is a confusing array of plates available to use. The sizzix sidekick is a great little machine but it is important to know that sizzlets are the first and foremost plates which are compatible with this machine, along with the big red sizzix machine. In order to make them compatible to the big machine you will need the sizzix converter. You can use other dies with the sidekick but you will need to make sure that you have the sizzix adaptor (these are quickutz, etc). A quick look around ebay will find one of the adaptors for you.
For the big machine there is a wider range of dies available including the accucut, sizzix dies (which come in 3 sizes as well as the alphanumeric dies). For most of these you will not need a convertor however.
Me personally, I don't have a favourite because they are ALL so fantastic and the competition only helps with the ranges that are now available to us!