"Lieblingskunst" is not wrong, but most people would probably not use it because "Kunst" is such a vague word.
Was ist deine Lieblingskunst?
... would probably prompt the question "Was meinst du damit?", or if not, the answer would probably be something like "music", "painting" or "tightrope walking".
If you are asking for a painting, "Lieblingsgemälde" would be best. If you mean a poem, say "Lieblingsgedicht", etc.
You can also say "Lieblingskunstwerk", but that could be answered by everything from "Romeo and Juliet" to "Toccata und Fuge von Bach" or "Banksy's little robot".
To ask for an artist, you would ask for the "Lieblingskünstler".
"Lieblings Kunst" (two words) doesn't work as expected. This would mean the art of a person named "Liebling".