I really like Mephala. S/he is surrounded by a lot of mystery, and likes to just mess with mortals. Skyrim's version of the Ebony Blade was not particularly useful for my character, but charging it was kind of fun, and just twisted enough to be entertaining. Throw in the historical connections to the
Dark Brotherhood [EDIT: Morag Tong], and Mephala is definitely my favorite Daedric Prince.