I don't really have any favorite but it has to be something that isn't going to create a mess after touching it. That means anything greasy (or not really dry) is out.... or anything that is prone to getting residue on the keyboard, mouse, or gamepad. I'd say something like a trail mix is perhaps the way to go for me.
I will usually pause the game and snack and then continue playing as to not get my keyboard and mouse/controller oily. Cheesits are my snack of choice with Barbecue Pringles a close second.
