No plugin for that currently exists so you'd need to make it yourself. Here's a short summary of the parts you would need:
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A new database table for storing user's favourite tags.
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A page plugin to add a tag to the user's favourite, that would get called when the user presses a button on the tag page. (Doesn't need to actually display anything, you can just redirect back to the previous page).
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A layer override to add said button to each tag page.
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A layer override that adds a class to the user's favourite questions in the question list.