I used to be of the opinion that we should be allowed to mark answers as favorites, but I've since had a chance of heart. The reason for this is subtle, but important.
Until now, I had been conflating Stack Overflow's "Favorite" feature with the Bookmark feature in Mozilla Firefox and Google Chrome. This is understandable and perhaps even natural given the fact that "favorites" in Stack Overflow use the same icon—a star—as bookmarks in Firefox and Chrome. There is a critical distinction in functionality between these, though.
Favorites in Stack Overflow are used to subscribe to notifications of a question's activity (edits and new answers), but bookmarks in Firefox and Chrome are simply used as placeholders for information on the World Wide Web.
In other words, I've been using Stack Overflow's favorites incorrectly.
On further reflection, this does make sense: there's no reason for Stack Overflow to duplicate the functionality of browser bookmarks. Instead, favorites allow you to be notified of updates to a question as if it was your own. This is something that browser bookmarks can not do and is helpful for keeping track of questions other than your own. (Technically speaking, this could also be achieved through RSS feeds, but Jeff has said that he doesn't think RSS has a very interesting or useful future.)
Viewed in this way, it really does seem silly to subscribe to notifications for changes to answers, which have much less activity than the questions themselves. Furthermore, despite the fact that questions are merely the sand that produces the pearl, questions and answers are generally treated as two complementary parts of the whole, and splitting them apart would leave out the "Q" in "Q&A."