It'd be nice to be able to mark favorites from the list of questions rather than having to go into each question.
We don't do this for the same reason we don't allow voting from the question page; it's a conscious decision.
You have to click through to vote, because we don't believe you can cast an informed vote without viewing the full question and answer.
Similar rules would apply for favoriting.
You already have this feature:
Hover with the mouse over the link, click your right mouse button and select "Bookmark this link".