My favorite local area for doing drills is Whitetail during a night skiing session. The night sessions are usually not crowded, so you can concentrate on a drill (and traverse the slope) without worrying too much about other skiers. Plus, the wider slopes, consistent pitch and greater vertical of the blues at Whitetail are more conducive to drills than other local areas.
My top five drills:
1) Skiing with your boots totally unbuckled (even the top buckles). You'll feel like a total klutz (at least more than normal) the first few times you try it, but it's the best way to find a nice balance point and gentle touch with your skis. Too much pressure in any one spot and you'll nearly come out of your boots. Fortunately, never actually lost my boots. Knock, knock. Plus, if you try to jam your skis in a direction they don't want to go, i.e. skid, you get instant (and sometimes painful) feedback.
2) Skiing on one ski. Skis have two edges, and they say you're supposed to be able to use both. This drill has actually saved me when I've lost balance under tight spots.
3) Holding both your ski poles straight up in the air, arms in front, trying to keep your upper body "looking" between the two poles. Great for keeping your upper body square to the fall line, which is a big weakness of mine.
4) The "little toe drill" mentioned by Otto in the two-legged skiing thread. At the end of a turn, pick up your old downhill ski, balancing on the outside edge of the old uphill ski. Tilt the little toe of the foot in the air down to the grown. By only doing that, you actually turn! This drill blew me away the first time it was taught to me. Great for getting the feeling of initiating a GS turn.
5) The "javelin turn". Once your downhill skill has just crossed the fall line during a turn, pick up your inside ski and cross it over the downhill ski. Really not as difficult as it may sound. Great for getting the feeling of the power phase of a GS turn and getting more body angulation.
I guess I'm pretty hard-core for having five favorite drills, but at least I don't do drills during a week long ski vacation.