How do I favorite a game and find those list of favorites?

You can favorite a game in two places on each game page, located at on the top black bar of the game, as well as the game tab on the game's user panel. 

You can locate these favorites by hovering over the main game tab on any page or at http://www.kongregate.com/games. 

You can remove any favorite by following the steps above or by visiting http://www.kongregate.com/games.