I think my favorite sonnet (that I've read so far) is 29, "for thy sweet love remembered such wealth brings/that then I scorn to change my state with kings."
One of Shakespeare's qualities in writing is that he is able to write what people feel, or have felt. This poem talks about jealousy and 'hankering after other people's stuff.' It also touches on feeling outcast, or alone. Bernhard Frank talks about this when he analyzes the sonnet, discussing how the first octave reveals Shakespeare's state of depression. This tone changes at the very end of the sonnet, as it's focuses changes, appreciating what he does have.
There are many different debates about why Shakespeare would have written about depression at this time. Two main reasons could be: firstly, in 1592, the London theater was closed, and secondly, in 1592, a dramatist named Robert Greene said some pretty . . . rude things about Shakespeare.
However, despite how Shakespeare may have been feeling at the time, his poem end on a happy note and is ultimately one of his happier poems.