My favorite are Penguins, all those reasons that Luke pointed out. They are just funny when they get sarcastic or flip in the air.
I think next I like the Pigs--they appear quite often and make for great little background characters--whether singers, musicians, acrobats...they are funny.
Chickens crack me up because sometimes they are just clueless. When they do the skits where they play piano by pecking the keys or whatever. I love them. They don't get blown up enough.
Rats are hilarious to me because they are sarcastic, small, and out for themselves--kind of traits of real rats!
I think Monsters lastly because they have always been quite over-used on Sesame and seem the easiest to pull out to get some kind of personality. I think it shows performers' true skills when they can make a chicken have its own personality even though it looks just like the chicken beside it!
However, I love them all, which contradicts everything I just said, ha ha!