Just one?
If I had to pick one stone, it would be the red spinel. Historically they were just sold as rubies and indeed some of the most famous rubies in the world are spinels (including two among the English crown jewels). Unfortunately it is much more rare, but since it doesn't have the marketing potential that rubies have you can often get them for less than a comparable ruby would cost. And they are extremely beautiful.
However... Different stones for different lights. Something that looks stunning under one light will look mediocre in another. I have yet to find a gem more beautiful in sunlight than yellow zircon, nor one more amazing by firelight than red garnet. I also have a wide range of other stones including most of those that people have mentioned here (there are a few I am missing including rubies, sapphires, blue diamonds and others).
In the following colors I also have general favorites:
Blue: Blue zircon or topaz.
Green: Tsavorite
If I had to choose a single stone, however it would be a different stone of a type not mentioned. I have an emerald-cut rhodolite garnet. It is very long and narrow (11mm x 5.5mm) and right smack dab in the middle is an inclusion that runs almost exactly vertically in the stone the stone. The inclusion (actually a fracture) has the effect of reflecting light back to the facets. This provides an effect that is very hard to decribe. At first, I thought that it was sort tacky and I didn't like it at all, but there is something that is very beautiful about this specific inclusion.