My favorite depends on which faction I am playing. When I first started playing during the second edition days, my first army was capitol and my favorite is a toss up between the Orca and Mitch Hunter. Mitch had such a high initiative in second edition that I almost always won. I have played capitol with UWZ yet but I think my favorite is still the Orca, especially the flamethrower model.
My second army was Dark Legion - Cult: I won the 2004 Origins Championship with my cult army. While the Neronion Razide was great as a support and bullet soak, my favorite was actually a squad of Destroyers. With 2 wounds and equally good in RC & CC (10 rating in each), they won the day for me at the championship.
My favorite in my Sons of Rasputin army is the Northern Sons in either edition of the game, they always perform admirably and usually to the death but not before taking out twice their points.
Imperial - I like to play Wolf pack. My favorite is the Wolfbane Commando HMG. I almost always take at least two squads of commandos and a Vanquisher to take command of each one and two HMG's for each squad. More about my tactics in the tactic thread. Great stuff!
Dark Legion - Muawijhe: My favorite HtH army. Favorite model, Doomsday Proclaimer followed closely by the Zenethian Soulslayers or as I call them, Vulcan Can openers.