A few people have asked me whether it's wise during the interview, in thank you notes or in letters of intent to tell an institution that it's your favorite. I say, "Sure, if it's true." On the other hand, it's not wise - as some applicants do - to tell all institutions that they're your first choice. I can assure you from experience that admissions committee members across the country speak to one another. And you may see these selection committee members again.
I remember an applicant who told our institution that we were his first choice. He was ranked to match but didn't because he had ranked another residency over us. After that, my colleagues were pretty clear that they wouldn't forget this deceptive behavior if they interacted with him professionally in the future (seeking a job, seeking a committee position).
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