Favorite has to be Nelo Angelo, despite giving me sore thumbs during my first playthrough of the game. It was an intense encounter that requiered very fast reflexes, attention at his attacks and being wise about when to use your own.
Phantom is definitely my least favorite. I don't know, the overall way you fight him doesn't really feel exciting. Almost to the point where, while I'm looking forward to the other bosses, I just keep wishing I could skip Phantom. Even worse, it makes me feel like fighting him in DMC2 is even better.