Oh man, my immediate family over my other relatives, definitely, since I rarely see my extended family on either side. But to narrow it down to one? I can't do that.
My mom and I are really close since we do a lot together and we're very similar. We make fun of movies together, she deals with my inane interests, and she's one of the people I can talk to and confide almost anything in. She's always looking out for me, helping me when I need it, and all-around a great parent. I dunno what I'd do without her since she's also been amazing at helping me deal with certain health issues I have. D: She's... a little clingy now that I'm away at school, but I don't mind too much since it's nice to have her come visit every other week or however often it is. xD;
My dad isn't as close to me in the same sense as my mom, but we have the exact same sense of humour. We find everything funny and we can make fun of everything. He's just awesome to be around and we have a lot of fun even just sitting there in the same room ignoring each other on our laptops. (We'll IM each other and demand the other get drinks or do something. XD I literally have a conversation in my MSN logs where I kept telling him to change the channel, so he'd do it and type back whether it was an okay channel, and I'd find something to complain about and ask him to change it again, and so on. SO MUCH FUN, EVEN IF IT'S RIDICULOUS.) He's also the one who introduced me to the internet, sort of. :D He's always been really accepting of everything I do, from my university choice (he was the first to give me the go ahead to apply here, even if it was away from home) to my love of gaming (he got the family a PS3 for Christmas 8D) and just... we have so much fun together. XD Even my online friends talk about how cool he is.
And then my younger brother. He's annoying sometimes, but as we've both grown up, we've mellowed out a lot. We don't fight often at all and if we do, it's over stupid, petty little things that go away pretty quickly. I confide in him a lot, usually weird things about fandom that my parents wouldn't get or care about. We share almost all the same interests and even if we don't, we're tolerant enough to just hear the other out when we get a new obsession. I swear he and I have probably just as many inside jokes with each other as I do with my other friends. XD; I really miss having him around when I'm at school and he's even clingier than my mom is when I'm home or when he visits. 8)
So yeah. I'm close with each family member in a different way. Noooo way I could choose. :( Damnit I want to go home now that I've typed all this... and I was just home yesterday. XD