I went with Gandalf, since he isn't even human, is immortal, acts as a political figure, magician, swordsman and has enough oomph to defeat a Balrog. It's quite a resume.
No I can't pick a favourite wizard. Erikson has some amazing wizards, Quick Ben and Bottle spring instantly to mind. Pug/ Milamber I have a soft spot for, Magician was my first adult fantasy. Dresden, edgy and dangerous. I can argue for all of them.
That reminds me - don't forget Raistlin! Too often, wizards are nothing more than a walking deus ex machina who exist to get the main character(s) out of trouble - Raistlin, however, is different.
He's one the greatest , most competent , most knowledgfeable Wizards of all time.
He's even got his own Luggage.
One thing I like about Gandalf opposed to many of these other names being suggested, though it does apply to some of them, is the mystique surrounding him. As someone else already suggested, for a wizard, he really did use magic pretty rarely, but was powerful enough to defeat ancient, powerful enemies (balrog), while still being very human and beatable (bested by Saruman). I don't know if it's ever clearly described in Tolkien's writings (I still have not real all of the books), but its at least alluded to in context that there is a lot more going on with Gandalf then meets the eye (guardian of middle earth, escapes death after defeating the balrog, etc). Enough to kind of give you a sense that there is much more to the character not written then there is written.
Very cool, thanks for all the info, definitely much more familiar then myself.I'm not sure the part about Saruman actually holds water. Why? Because neither of them was actually human at all, despite appearances. Saruman and Gandalf were both Maiar, one step below the Valar, the Powers of Arda. It can be assumed that both of them (and the other three wizards too) were severely constrained from using their full power while in Middle Earth; this can be deduced from other instances in which powerful entities (the Eagles being the most notorious) did not help until all other hope was gone. Middle Earth was supposed to deal with its own problems; the Wizards were sent to encourage the forces of good, not as magical artillery.
Gandalf didn't use much magic because, most of the time, it wasn't appropriate or necessary. He did use it when only high magic would do; calling down a flood against the Nazgul, directly attacking the Witch-King to get Faramir out from under, and of course against the Balrog - which was of equal rank.
Most of this info comes from the Silmarillion, not LOTR.