Very interesting question. At first I was thinking this would be in regards to communicating with people (since I have a couple of modes regarding that), but here we go:
I'd have to say that my most comfortable mode is when I'm sitting in a quiet room just thinking, staring off into space. Many times, when I sit down to begin working on something, I'll realize I can't concentrate just yet, so I'll take a few minutes (which often stretches to about 20, easy) to just think. I find the quality of my thinking changes quite a lot when I go from active+thinking to just thinking, and that would definitely be my most comfortable state.
My most comforting state would probably have to playing video games or watching a movie. Despite loving the more pure emotions, every now and then I'll do something that really shakes me up (usually involving failing to perform as well as I could, ultimately leading to genuine disappointment of my own self-image). In that state, eating chips is usually a nice supplement. This hasn't happened to me in quite a while though.
However, I'd also have to add that the most comfortable state can be, well, too comfortable, if that makes any sense. My favorite state to be in would have to be the 'flow' state, which I usually get from being in the process of grasping a new level of performance, most pronounced when I'm playing my violin. But, I've had lesser correlate states while drawing, solving logical puzzles (e.g. computer algorithms, strategy games), playing action-fighting video games, etc.