Favorite is Sisko. All the Captains really are meant to harken back to the ideal of the Renaissance "man". But for me Sisko is the most complete and well rounded of the bunch. Husband, father, explorer, diplomat, warrior, chef, scientist, religious figure and more. Plus he seems to understand that ideals are all well and good, but they are meant to be a guide not a straight jacket.
Least favorite... Janeway. She is to my mind the very epitome of what you get when someone comes from too many generations of insular thinking. She's a Starfleet brat through and through and makes it clear all too often that she's not so much unwilling to consider other points of view than her own as valid, but rather unable to since in her mind there truly is just one way.