Thought I'd help get this thread goin' a bit, as it seemed a rather fun one, and that it's sadly died down a bit....
I'd have to say that, first and foremost, Shub-Niggurath would have to be my first favourite...the dark mother archtype that she portrays is one that brings up glimpses of a dark mother goddess that's present in a lot of faiths, yet is done in such a way that is so ellusive as to call strongly to to the ambiguity that comes with a dark mother deity. She's something we can relate to and understand deeply...yet not with any sort of understanding that we can grasp hold of on any more than an intuitive level, and Lovecraft, I think, has done this extremelly well, as Shub is the only one out of all his creatures whose origins we're not 100% sure about.
I'm also a fan of Nyarlathotep as well...perhaps because there's something so familliar about him, with his ability to shift into human form as needed, and him being the one to take any sort of interest in men's affairs at all...makes him a bit more solidified and easier to grasp, as a result.
I'm also a rather big fan of Cthulhu, but that's more because of the absolutely insane amount of Lovecraft paraphenellia that's danced up and around this particular character...hehehe, I even saw plush Cthulhu bedroom slippers for sale online once, which I want RATHER badly! And, I did at one point have a Cthulhu plush toy, complete with posable wings, that I'd snuggle up to at night. But, sadly, he was left on a Grayhound bus back in the states as I made my way from Oregon to San Francisco for my first leg of my trip to England! *Bites lip and looks worried* I do hope it didn't scare some poor child on the bus too badly!
The fascinating thing to me, as well, about the mythos is that so much of what Lovecraft described were from dreams he had...he was absolutelly plagued by nightmares for a good part of his life...tons of them...and often exactly what you read in his stories were his attempts at getting onto paper the very images he had dreamed about only moments before, and to me lends itself to the fact that what with these beings being the bizarre, pandementional creatures that they are, it adds a really wonderful aura of fear and mystery when you consider that the very way they communicate to humans is through the very dreams Lovecraft had...