What does he mean by "Vanity-definitely my favourite sin"?

This line (which breaks the fourth wall as Al Pacino utters it directly at us) is said immediately after Kevin (Keanu Reeves) has been easily coerced by a reporter and his own wife, Mary-Ann (Charlize Theron), into giving an interview which, it is promised, will make him a 'star'.

We are essentially right back where we started in the film. After getting Gettys acquitted in the beginning, Kevin rides the celebrations and adulation, ultimately accepting the offer to work at Milton's firm.

At the end of the film, when he is given a second chance to morally redeem himself, we can see that, ultimately, all he craves is the same adulation - hence the 'vanity' line.

Of course, with the line being said directly to the audience, it could also just be a little in-joke on the failings of big movie stars...