When I used to live in Kentucky, I really liked Pastry Plus in Louisville and Burke's Bakery in Danville. If I had to choose a favorite, it'd probably be a classic such as a chocolate or strawberry with cream filling. For more curious flavors, I really like rocky road and similar. Fortunately for my health, I don't often eat doughnuts anymore though and I don't even know of any good places in Boston since I haven't looked.