if i did this to my website would it be illegal http://www.allmyfaves.com/ the way they have it.with the logos.
Are you trying to promote their site by linking it? What is the question? To use logos, you have to have the permission of the copyright holder of the images. However, most of those companies are happy for people to use them as long as it isn't used improperly, eg for selling imitation Rolexs or something, or to modify their logo to sell a competitor's product.
In other words you want to clone the idea and wonder if the site would run into issues with the trademark owners who's logos you are listing in the Favs..... If this is the case then the answer is "unlikely". Naturally before using anyone's trademark you should ask permission but given what the intent is then people generally wont get too annoyed at you saying they're great.