Hmmm... this is a bit of a toughie. For the most part, I'm pretty indifferent to legendaries, especially when they're first introduced.
Of course, eventually most of them grow on me, such as the original five, Lugia, Ho-oh, Groudon, Kyogre, and Rayquaza. And others, which I won't mention, whom I find really irritating.
I'm not entirely sure how I feel about the new legendaries(And won't until Diamond and Pearl come out.), but I can safely say that Arseus is awesome(Although it disturbs me somewhat that you can capture 'God'. XD), Giratina and Darkrai are intriguing, and that Sheimi seems kinda lame(It looks like it should be a normal Pokemon, not a legendary =.=;). Oh, and I just don't like Manaphy at all. I just don't.
Anywaaay.... I'm rambling now...
If I had to choose my favorite above all favorites, I'd probably choose... Lugia. 'Cause Lugia is awesomesauce.