<?php
    include_once(ABSPATH . WPINC . '/feed.php');
    $rss = fetch_feed('http://twitter.com/favorites/793830.rss');
    $maxitems = $rss->get_item_quantity(3);
    $rss_items = $rss->get_items(0, $maxitems);
?>

<ul>
    <?php if ($maxitems == 0) echo '<li>No items.</li>';
    else
    // Loop through each feed item and display each item as a hyperlink.
    foreach ( $rss_items as $item ) : ?>
    <li>
        <a href='<?php echo $item->get_permalink(); ?>'>
            <?php echo $item->get_title(); ?>
        </a>
    </li>
    <?php endforeach; ?>
</ul>

http://css-tricks.com/snippets/wordpress/display-rss-in-wordpress/

Just replace the URL in the fetch_rss line below with the RSS feed to your Twitter favorites. In fact this will work with any RSS feed.

Show Your Favorite Tweets with WordPress

wordpress

PHP