Monarchs favor milkweeds, but definitely have favorites within milkweed species.
Showy butterfly weed, Asclepias tuberosa, a relatively common milkweed in the Southeastern U.S., is a great nectar plant for many insects, but isn't really a favorite here for female monarchs to lay eggs (and therefore support caterpillars).
The story of monarchs, their very specific host plants, and how the alkaloids that they ingest help them deter predation is fascinating, and their migration incredible.
But Asclepia syriaca, Common Milkweed, is definitely preferred in our Southeastern gardens. I've put in lots of transplants, thanks to my friends who are butterfly enthusiasts like me, and now my plants are waiting for females to lay eggs.
Here's a photo of monarch caterpillars on common milkweed a couple of years ago in a perennial border at the Garden.