Yes, but they seem interchangeable in education, at least as far as μάθημα means actual class lessons.
Έκανα μαθήματα Γαλλικών - I took French courses.
Δεν μπορώ να έρθω, έχω μάθημα - I can't come, I've got class.
Even though they are not always interchangeable, we have to add them in the hints, because hints work like a dictionary. ^.^
(I'd like to make a note here and say that in his particular case, "What is your favorite subject" would sound a bit more accurate to me, as this question is usually referred to actual school subjects.)