Bone marrow is the best in my opinion, nutritionally and taste/texture wise. Brain is good for the omega 3s, but isn't almost pure fat like bone marrow. The creamy bone marrow tends to be the best tasting food (to me at least, along with liver), while the dry marrow is a bit like suet. Suet is a good source of fat, and nutrition if it's high quality (although bone marrow is still better). Egg yolks might not be as fatty as marrow or suet, but they have a very high overall vitamin/mineral content, second only to the most nutritious organs. Although some seem to have some problems with eggs, albeit egg yolks are generally tolerated a lot better than egg whites. Any organ or muscle fat will do just fine as a fat source, and there are some other fattier parts like tongue and belly.
I don't really recommend dairy, but butter is almost pure fat, while cream and cheese also have a high fat content. Perhaps some milk could be very fatty, although I've yet to see any (not that I eat/drink dairy anyway).
In general I would recommend bone marrow the most, brain second and egg yolks third. If you were not eating anything other than those foods, then egg yolks would be the most overall nutritionally complete, but bone marrow is still more nutritious in certain nutrients and almost pure fat, while brain has a lot of cholesterol (3 times more than egg yolks) and is the second highest source of omega 3s, behind fish roe. All of the other fats can be pretty nutritious as well, but they need to be high quality and will still not be as good as the first three. Obviously, if you can, you should always be getting the best meat/eggs.
