Challah is indeed wonderful for French Toast, as is brioche. The breads are already rich with eggs so that gives them a head start.
A style that I learned about from Molly Wizenberg's book, A Homemade LifeA Homemade Life, is to cook it the toast in rather more oil than you would normally expect to use. This results in a crispy, almost fried crust and a creamy interior that I think is delicious.