My favourites have always been Water, Electric, Ghost, and Fighting. Whenever a new generation comes out, I always look forward to what kind of Pokémon of those types there will be. For the most part, I've always been impressed with the Pokémon of those types. They're also important assets to my team - I always have a Water- Electric- and Fighting- type on my team, and almost always have a Ghost-type. They really cover a lot of bases.
I'm also a fan of the Steel-type, but only if they're paired with another type. The pure steel types in the games have never really impressed me but, say, Bug/Steel types always has.