I've seen all of these films and enjoyed each of them, but my favorite one from the bunch would have to be Tokyo Godfathers. It wasn't a perfect film (what movie is?), and the last few parts before the movie wraps up (avoiding spoilers here) are kind of hard to swallow, but it was the least disturbing of his movies, so that's mainly why it gets my vote. I watch Tokyo Godfathers almost every year around Christmas time, too, so there goes another reason why I prefer it over the other picks.
Perfect Blue was definitely an... experience, especially in the movie theatre. It made me feel unusual feelings, so I have to give it a lot of credit for that. However, I'd say that Tokyo Godfathers is my favourite movie of these. (I've seen all of them.)
Such great films... it is a close toss up between Perfect Blue and Paprika, but ultimately, I think I will choose Perfect Blue... Something about that film; it is so hard to replicate that feeling of dread and tension. The only other thing that has come close for me is It Follows.