If the question was which is the BEST captain then I'd probably go for Picard because he contains some elements that I think make for a great captain. He's an intellectual that likes to think problems through rather than acting on gut instinct, he always looks for the peaceful solution to a problem but has a steely resolve when the situation requires it, and he is perfectly willing to delegate to his crew.
But since the question is which is my FAVOURITE captain I'd have to go for Sisko. He wasn't the best example of a captain, he had a temper that he lost control of many times, but I found him to be a more balanced human being. In the very first episode we saw him grappling with the grief of his wife's death, we saw him raise a son alone, and we saw him develop a relationship with someone new. We also got to see him grapple with the responsibilities of being a religious icon and a man with a destiny.
Kirk is enjoyable to watch and arguably the most fun captain, but I've got to agree with the great philosopher John Locke when he called Kirk a pisspoor captain.
Janeway had her moments, but she was wildly inconsistent between episodes and often did annoying things.
Archer was a naive fool for the first two seasons, but he grew a lot in season 3 due to having the weight of the world on his shoulders, and he was a much better character in season 4.