I think Sisko is my favourite captain if only because he was the most human and realistic character. Kirk leading the away parties always rubbed me the wrong way. Picard was perfect to a fault. Janeway was decent, but the writers didn't really know where to take her.
Sisko got mad, violent, insolent, funny, serious, light-hearted, and commanding; something of a feat for a Star Trek character to have that well-rounded a personality. The fact that he sounded something like Darth Vader also helped a bit