I can't fully decide who I like best. They all have interesting units, tactics, philosophies, histories, agendas, it's so hard to choose! Some of my favourites though would be;
Tau; For the advanced tech and their philosophies on how to wage purely ranged warfare. I love that idea.
Necrons; For essentially being unstoppable, Terminator-like death machines. I played them a lot in Dark Crusade.
Imperial Guard; For the tanks basically. Basilisks and Baneblades are amazingly powerful.
Orks; Because they're just fun and make me laugh. Who doesn't injoy a shotting DAKKA DAKKA DAKKA while firing a million bullets at the enemy horde?
Harlequins; Of all the Eldar, these guys are the best. Seriously, go read about them if you don't know them and then tell me they aren't badass.
Tyannids; I don't know much about them, other than they could potentialy be the biggest threat in all of the 40K verse, and I respect that fact. From a safe distance, of course...