I don't really have one but my favourites were the Thousand Sons, World Eaters and Luna Wolves.
Thousand Sons - They weren't just your average bunch of astartes, only focussing on war. They had several academic pursuits like understanding biology, philosophy etc. Hell, Ahriman even made wine. I just feel that it gave them extra depth that a lot of other legions lacked. Plus, as a legion they were uber powerful.
World Eaters - I just loved their utter fearlesness in combat. Sure they were a bunch of fucking lunatics but they had balls, even for astartes. Like Skraal and his squad in Battle fo the Abyss, charging head on into a Word Bearers firing line without any hesitation. Not to mention that people tended to piss themselves when they heard the WE were coming.
Luna Wolves - They were damn successful for a reason. They did what was needed to to get the job done, even if it wasn't always the most ellagant way to do it. Loken's first duel with Lucius sums this up perfectly. They showed that fighting cleverly is a lot better than trying to be fancy and that's why I liked them.
The human appendix. Proof of a higher power. A divine kill switch so to speak.
No one really likes a smartass, but people tend to like a dumbass even less.