I wrote a short series of blog posts where i went around eating and reviewing them (only made it to 8 posts though but will be doing more when I have time) and it entirely depends on what you want.
Large size? crusty? more filling? no filling? eggy? less eggy?
I prefer the one from Man Wah (yes a chain, don't care, it has all the qualities I like), thick sliced bread and deep fried, so it's crunchy and fluffy. I also prefer no filling because some places use such crap quality peanut butter that it totally ruins it even if the outside is nice.
There is a salted egg custard one in Sai Ying Pun that I've wanted to try but I don't get out to that area of town much.