I know I may be alone on this one, but my favorite would have to be Clavicus Vile. I just find his mysterious nature and background intriguing. Not to mention that I loved his voice in Skyrim. Also, his relationship with his "dog" (or Barbas in the form of a dog) is very interesting. The fact that his powers are weakened when separated from Barbas is very interesting and I like his back-stabbing nature, provides for some humor.
Of course, I have to give a shout-out to Sheogorath for his awesome stories in lore as well as his comical dialogue and epic/hilarious quests. His quests are always a lot of fun to do. I'll also say that I like Hircine, Sanguine (his Skyrim quest was in my opinion one of the most fun daedric quests in all TES), and Hermaeus Mora, purely for his realm.
I enjoyed Mephala's quest very much in oblivion but it was pretty sh*tty if you ask me in Skyrim.
Oh, and I'd also like to add that I find it very funny that Peryite is basically the rest of the Daedric Lords' [censored]... that amuses me