I have always thought Mewtwo to be one of the, if not the, coolest Pokémon of them all. The way it looks and moves around during battle is just awesome, and its background/history has seemed so cool to me ever since I saw the first movie.
However, now that I've begun my adventures in Generation IV, I am also starting to see the coolness of Dialga. It looks almost as cool as Mewtwo (or, dare I say . . . perhaps cooler, even?), and it freaking controls time! Arceus also seems appealing to me, mainly because of its ability to, ya know, create the entire world (or at least Sinnoh), and also partly because of the way it looks. But that may or may not change if I ever have an Arceus of my own.