I like A Hard Day's Night best and think it's the best. I also like both Help! and Yellow Submarine a lot. Magical Mystery Tour has a lot of great music videos, but isn't a very good film. I haven't seen Let It Be for too long to have an opinion.
I've never seen Help!, but would pick A Hard Day's Night over Yellow Submarine, if only for the fact that the Beatles aren't actually in the latter film, except for the last couple of minutes.