Just curious. I like them all, but for the moment I'm going to go with the asuras and the slaad.
The former because I think their mentality is one of the most fascinating and conflicted and makes for good stories.
Slaad I like because hashing out their status as the exemplars of chaos, and their mentality as such, is always fun.
ETA: Gonna add Paizo's Daemons, given that I've read through most of the new Book of the Damned and it is pretty much filled with awesome-sauce.
ETA II: Changed the name of the thread b/c I was trying to remember what those goopy guys from Arcadia are called, and Wikipedia reminded me that Meriadar was in Arcadia. I like the little details such as that, that while one thinks of Arcadia as the plane of PTA prejudices and fears it also has capacity to fuel tolerance and unity.
Prolly still more of an Aboera man myself, but like that detail.
I like a lot of the really exotic places in Planes of Chaos: the Infinite Staircase, the Harmonica, Howler's Crag, the Ingress Mother and the tower of True Words from Dead Gods, demiplanes like Maelost and the Boundless and the Black Abyss and Inphirblau: anything that hints at unsolved mysteries, lost civilizations, and weird effects that game mechanics don't cover. I love that when cubes in Acheron drift far enough away from the others, time stops, so that ancient armies return when their cubes do, with no idea time has passed for everyone else. I love the Garden in Baator and the many-legged undead fortresses in Acheron, and the citadels of the Storm Kings in Arcadia and the towers on the edge of the Positive Energy Plane.
David "Zeb" Cook wrote an absolutely fascinating article in Polyhedron #100 called "Analects of Sigil," describing five mysterious citadels found on the Negative Energy Plane. These specifically were not the Doomguard citadels, but more philosophical citadels known as the Citadels of Surrender, which each stole a quality from those who explored them. One took away fear, one took away hope, one took away compassion, one took away regret, and the last one took away everything else, wiping the explorer from existence.
For all that, my preference in Planescape is for urban environments, relatively neutral places where many races can meet and trade, built upon and merging all the bizarre themes of the planes they border.
As far as planar creatures go, my tastes go toward bizarre-looking, vaguely humanoid races that populate the planes, many of them neither entirely good nor evil, but ambiguous.
Nerra: The Plane of Mirrors, joining parallel worlds of opposing alignments, is a very cool concept and it's a good thing that there's a race native to it to help flesh it out. In fourth edition they were an ancient cabal of wizards; a faction of them became corrupted by Asmodeus and now serve the Balance in a way akin to the rilmani of previous editions. Well, that's one possible origin for them; they might also be descended from the kamarel from Tales From the Infinite Staircase. I like that they're allied with both the spell weavers and ethergaunts (the spell weavers might actually have created them, in another 4th edition origin story). These are enigmatic planar beings who go well together. Fourth edition gave them an entire world of mirrors, a nexus point of all the constellations from which they can emerge.
Spell weavers: I loved these guys since they first appeared in Dragon Magazine. Their motives, then, were inscrutable and unknowable, so much so that those who tried to read their minds went mad. But they raided planes for magic and had cool rune-covered columns and ziggurats. In 3rd edition they got fleshed out a lot more by Tito Leati in his "Ecology of the Spell Weaver" in Dragon Magazine, as well as the Shackled City and Age of Worms adventure paths. As an unthinkably ancient race bent on reassembling their ancient empire, each with six different millennia-long lives, they were delightfully vast and strange, and this was a rare example of a mystery that became even cooler once it was explained. And they're allied with the nerra, whose mirrors they use to travel between their nodes, so that's just stacking cool on top of cool.
Ethergaunts: Erik Mona, who created these beasties, complained about how nobody liked them or cared about them, but I always thought they were great. For a creature whose creator maintains nobody ever used them, they've actually been used quite a bit. "The Mask of Diamond Tears" in Dungeon #143 was the adventure that explored the ancient alliance between the ethergaunts and nerra, when the ethergaunts used the Plane of Mirrors to create evil dopplegangers of their enemies in cross-cosmological wars. But their backstory is fascinating without that: an extraordinarily advanced, genius-level race that abandoned the Material Plane tens of thousands of years ago and has no coldly, analytically decided the time has come to return and cleanse their former lands of those who have moved into it in the interim - and who might well have the capability of doing it. It might have been a bit much when they invaded Sigil directly from the Ethereal Plane in the Downer comic strips, but I do like the idea that they're found not only in the Deep Ethereal and the worlds of the Prime, but also in the Outer Planes where they seek to destroy the gods themselves. I loved Mechalich's treatment of them as the ultimate advancement in compassionless, faithless science/magic. They might just have been the original creators of the clockwork horrors, too. The place they've been used the most, though, as Erik Mona was aware, was the Living Greyhawk campaign, where they were credited with the fall of the Isles of Woe on Oerth thousands of years ago and a new threat, the Ether Plague that devastated a major nation in the present day, turning once-fertile lands to sterile dust.
The ethergaunts are a creature that has to be used judiciously, since they're not the sort who will trade peacefully or casually with many other races (except, evidently, the nerra - and possibly a few other alien, faithless races like the spell weavers or tsnng). They're best kept in reserve as a terrifying threat manipulating events from several levels removed.
Kytons: Late 3e and 4e books have them as just one more cog in Baator's machine, which makes them no more interesting than kocrachons or hamatula. But as originally presented in Planescape they were an independent race with no kinship to the baatezu, with motivations of their own, secretly experimenting in knowledge of the baatezu's own origins. That was a cool idea, a race wrapped in chains and mystery, with unknown origins, secretly plotting heresy while letting the baatezu think they controlled them.
The N'gathau from the Tome of Horrors II. If kytons are based on Clive Barker's cenobites (and they are, according to Colin McComb), then the N'gathau are more like the Tortured Souls that Clive Barker helped create in collaboration with Todd McFarlane's toy line. They're planar merchants of flesh and pain, purely revolting and evil and wrong, and I thought they worked great in the lower planes. I used these in Void's Edge in Gehenna.
Tsnng: My affection for the spellcasting humanoid gemstones of the Quasielemental Plane of Mineral is entirely due to Mechalich's excellent treatise on them as a ridiculously powerful, primal race that believes themselves to be born from the first tone that rang out at the dawn of creation.
Bladelings: They're bloodthirsty druids with blades of iron and ice sprouting from their bodies. They worship a forest called the Blood Wood on a plane of ice blades. They're xenophobes, hunters, and sorcerers. So cool.
Gautiere: Accursed, acid-dripping humanoids who betrayed their own god. Plus, they look cool.
Dabus: The riddling handmaidens of the Lady of Pain. Silent, enigmatic, perhaps intimately tied to the origins of the Lady of Plane herself. The phirblas, their ethereal perhaps-cousins, are just as interesting for the same reasons.
Mercane: The ultimate merchants, mysteriously banned from Sigil and quite capable of selling an entire crystal sphere to the tanar'ri if they have a mind to it. What's their goal? How do they reproduce? Are there really just a handful of them that can somehow exist in different planes and places simultaneously? Did I mention I like mysteries?
Khaasta: You might see the occasional khaasta aphorism in the quote section on this website. I wrote those. I love the idea of ruthless, pragmatic lizardy guys wandering the planes of Chaos and the Outlands. I had the idea that they were cosmic leftovers, of a sort, meant to populate some Prime World if their creator hadn't died before they could place there. Refugees from a dead god's realm, never properly born, they act as scavengers and opportunists. The Serpent Kingdoms hardcover for the Forgotten Realms setting had them as creations of Demogorgon who he decided to free for some reason, mostly serving Sess'innek now and engaged in a long war against the sarrukh, and that wasn't bad, but I like them a little more independent than that.
Genies: What would the Inner Planes be without genies, their effective masters, the personifications of the four provinces of magic itself? They can be anything: slavers, masterminds, mysterious patrons, rebels, conquerors, sages, merchants, freedom-fighters. But, more than even elementals, they make the Inner Planes what they are.
Vaati: The Wind Dukes of Aaqa are more interesting as a now-lost, nearly forgotten explanation for countless ruins and modern races than as anything that still exists in the contemporary multiverse, but as the ancient architects of the planes they're fascinating. They ruled the genies and raised them to civilization, laid the foundations of the City of Brass, the City of Glass, and the four citadels of the Storm Kings in Arcadia; they're responsible (I theorize) for the creation of blink dogs, buseni, protectors, possibly even the modrons, and for the longest, most devastating war the planes ever witnessed. And now they're gone, or might as well be.
Ormyrr: A race of planar Hutts obsessed with flying. Possibly from Arcadia, or Acheron. They just make me smile. I like ooze sprites for the same reason. I'd flesh 'em out with detail from the Zoab (of the Talislanta setting).
The Thane: Another race from the Talislanta setting, the Thane were an ancient race of necromancers who ruled a dark kingdom in the Lower Planes. When their prophets told of a cataclysm that would sweep across the planes of existence, they hid their souls away and consigned their bodies to a dreamless death, from which they planned on awakening when the threat was over. When most of the souls of their kindred were lost, those few undead Thane who remain, known as the Black Savants, now search the planes endlessly for the lost souls of their kin. For more detail on the Talislantan cosmology, download either The Midnight Realm or The Darkness from this site (they're pretty much the same book).
And, of course, I like many others as well (eladrins, particularly in their Pathfinder form as azatas; the daemons from Green Ronin's Book of Fiends; the lumi from the 3rd edition MMIII; modrons; astral stalkers; planar spiders; soulscaper energons (from Bastion of Broken Souls; they fill the same role as the jyoti from Todd Stewart's The Great Beyond); keepers; githzerai; tso; buommans from the Planar Handbook), but this has gone on long enough. Of all these races, I guess I prefer species that can be readily encountered in urban areas, races who will trade with other races, and races that can readily be used player characters - but some of these things are just so cool that I like them even though their utility is more limited.