pgAdmin-III - Option to load a favorite automatically when opening query window
There is no direct option, but I use command line option to load my favorite sql automatically at starting pgAdmin.

for exmaple in windows :
start "" "...../pgAdmin3.exe" -q -f "favorite.sql"

-q options means that you launch query tool only.
-f "filepath" instructs sql file automatically opened in query tool editor.

detail of options are
http://www.pgadmin.org/docs/dev/commandline.html