Um...none? I mean, aren't they all terrible?
Let's see...the Imperium of Man is a xenophobic totalatarian state that exterminates its own people when it isn't killing them for heresy, and is technologically backwards, having made no advancements in technology in the past 10,000 years. Ergo, they're one of the least morally repugant factions out there.
Chaos is...well, Chaos, bent on the consumption of the galaxy. The tyranids also want to consume all life in the galaxy, both proving that the universe/Warp just wants you dead.
Eldar are gits - they're no better than the Imperium, they just lack the means to be as destructive. And the Dark Eldar are a race of sadists.
The Tau Empire have the whole 'holier than thou' thing going on, and are like the Imperium as well, only less blatant in their expansionistic tendencies. Oh, and the necrons also want to rule the galaxy...or something...I prefer old necron lore.
And the orks just go stompin' around. They have a good time, but at the expense of everyone else.
Y'know, for a setting that takes a lot of inspiration from Dune, Foundation, and even Judge Dredd (e.g. the Arbites), it makes me realize how nice those settings are in comparison. Yes, Dune has a galaxy-spanning Imperium with bickering houses, and the Foundation has a technologically regressive dark age where mankind worships machines, and Dredd features a burnt out Earth where life means nothing, but frankly, I'd take them.
But if I had to nominate a faction as a favorite, I guess the Imperium, in as much that they have the largest variety of forces (Space Marines, Imperial Guard, etc.). Also, I'm a human, not an alien, so there's that.