I have a few as well. Not counting the Daedric Princes, just because I'm trying to limit it.
Ruptga~ Chief deity of the Redguard pantheon. I love that he's not just another Akatosh-like deity, that he's a totally unique entity. Plus the idea of an old man wandering the stars is just a sweet image.
HoonDing~ Definitely a unique 'deity.' Although you could argue that he's not a typical god. We don't know much about him other than he is occasionally...'mantled', for lack of a better term. Basically a mortal will 'become' the HoonDing, it's not permanent though.
Akatosh~ Only non-Redguard deity on my list. I like the idea that Akatosh is just a raging schizophrenic with multiple personalities. Also his name is secretly awesome- 'Also known as the old Smaug himself.
Molag Bal... I just have so much fun tormenting people and slowly stealing their souls and sometimes even turning others into Vampires or undead slaves. Malkoran is so far my favorite thrall who's soul I have taken. I always manipulated Malkoran despite giving him the Dawnbreaker (Oh the horror XD). Manipulating Malkoran's Shade is an even greater challenge, but I still managed to get him to massacre all of Solitude on his own so XD
Molag Bal is my favorite just because of all the soul-collecting I do and the torment I cause XD
I do indeed also like Sithis and Mehrunes Dagon.
I had a great joke for this, but then I thought better of it. *Sigh*
Probably Dibella. I've got a thing for sexy lady goddesses, and most of my Skyrim characters are women, so it makes sense they'd have a connection with her. I also rather like Nocturnal, but just for the very business-like way she approaches things; her followers are more like employees or contractors than they are worshipers, and I think that's an interesting way to have a deity behave.
My favorite Deity might be Mehrunes Dagon for.....well....He tried to take all of Tamriel which is nice :-) and because I always use the razor which has a feel of evil into it.
And also Molag bal for he has a goddamn mace!! which looks aesthetically good for evil tanky characters :-)
This I expected a crab from you