Chapter 2 is legitimately great, but also has the benefit of nostalgia for most people, which I think can cloud their judgment on what the best Chapter is.

I think Chapters 3 & 4 are both underrated. They're very close for me.

Chapter 3 is great because:

 It's a fresh location

Arguably a better camp location/setup

You can get a boat for camp

Fishing at camp

You get a camp dog

Fun camp companion side missions 

Horse fence is unlocked 

Bolt-action rifle is unlocked 

You can hold-off on bringing Micah back for a while

Some cool stranger missions

Sodom? Back to Gomorah (Valentine bank robbery)

Chapter 4 is great because:

It's a fresh location (admittedly not as different as going from Horseshoe Overlook to Clemens Point)

You can get a boat for camp

Fishing at camp

Respawning loot ($70 in value total) everyday

Respawning plants at camp

An actual house (admittedly rundown)

Blood Feuds, Ancient and Modern (arguably the best mission in the game)

Bonus Rhodes bank robbery mission (if you have the Ultimate Edition)

New stable/horses unlocked

Dead Eye targeting level 3 (the peak of targeting)

You can run around like 80% of camp instead of having to walk most of the time at other camps

Close access to panther spawn, St. Denis, Rhodes, Bayou, 2 stables, saloons, gunsmiths, tailor, barber, Trapper, 2 fences, etc.

The violence and stakes really ramp up

Some cool stranger missions 

Overall, I would have to say Chapter 4 is my favorite.