If my opponent uses Falling Star against 2 of my 3 Might units while there is a Zhonya's Hourglass at base, can I choose which unit to save?

Yes, you can choose which unit to save.

According to the rules regarding replacement effects and simultaneous events, when multiple units would die at the same time, the controller of Zhonya's Hourglass chooses which unit to save.

In your scenario, Falling Star deals 3 damage to two of your 3-Might units. Because damage from a single spell resolves simultaneously, both units would die at the same time. Since Zhonya's Hourglass is a replacement effect that triggers when a unit would die, you (as the controller of the gear) get to decide which of those two death events to replace.

Important Nuances:

• Timing: Zhonya's Hourglass must be face-up on the board before the damage from Falling Star is dealt. You cannot wait to see the results of the damage and then decide to flip it; it must be active to replace the death event.
• One Gear per Save: If you only have one Zhonya's Hourglass, it can only save one of the two units. The other unit will die as normal.
• Not a Trigger: Zhonya's Hourglass is a replacement effect, not a triggered ability. It does not use the chain and applies automatically to the death event you choose.

This is my interpretation based on the mechanics of replacement effects and simultaneous death events as outlined in the game rules. No official FAQ exists for this specific interaction with Falling Star, but it follows the established ruling for simultaneous deaths.