I'm pretty sure this link worked some day in the past: https://stackexchange.com/search?q=infavorites%3Amine+
It should only display your favorites from all Stack Exchange sites. Instead, the filter is not working, so I consider this to be a bug. This query works on every Stack Exchange site, except for stackexchange.com, itself.
If this isn't a bug, I still think this should be the expected behavior. I know a question that I marked as favorite, but I don't remember on which site I've seen the question, since we have many Stack Exchange sites that are related to each other (i.e. Stack Overflow, Super User, etc.)