The immortals of Dungeons and Dragons are typically a morass of half-thought out ideas and disruptive plot devices dangling out seductively for some mad Dungeon Master to grasp only to fall to his death. Naturally I like them all.
Hell I like most anything that can cause a campaign to flip on its side and challenge the preconceived notions of its players. For me no immortal creature fits that bill more appropriately than Hercules. With Hercules you have a figure larger than the game and one that has touched the lives of most of the players - whether we're talking about the awful films of the 70s and 80s or that abomination that Disney put out. There is more in that mythical figure than just what popular culture would have us believe.
Hercules symbolized not only the strength that a human body can possess, but the strength that one must have to face the great labors of our own lives. His labors were a metaphor for the tribulations that each of us must overcome - and they were intentionally designed to show that no matter how awful things get we can move on from them.
That alone makes him my favorite.