I think all the forms are OK if favourite is spelt properly (j/k). Personally, I add "...of the week" to the end to make sure the answer is a particular day of the week. Otherwise, the person asking the question might get an answer such as New Year's Day, Christmas Day and so on.

It is more correct to say "which day is your favourite?" or "which is your favourite day?"

Better to say "Which is your favorite day" or "What day is your favorite?"

It's also correct to say: 'What is your favourite day?'