That
Archiblatta is crazy! Looks almost like a stocky katydid or cricket.
And I know choosing is hard for everyone (including myself) lol

But if I must. Hmmm....
Corydidarum pygmaea is towards the top of my list because it's such a unique species and because I've been trying really hard to get nymphs from that project, even though I ran out of males before my female matured (thanks Kyle for the male!)
Pseudomops septentrionalis is one of my favorite, if not my favorite, native species because I can always look into the enclosure and see at least a couple individuals roaming about. I'm hoping one day to have a large colony going in a big tank so they'll be really easy to watch then.
On a more interesting note, I recently got some
Rhabdoblatta formosana and was just keeping them in a 16 oz deli cup until I got their more permanent enclosure set up. I was out of town for a couple days and there was quite a bit of rain while I was gone. When I got back, I found that the ceiling in my invert room had been leaking. Not just leaking, but leaking into a big tub that contained various species in a myriad of enclosures. The
Rhabdoblatta were on top and I feared the worst because the container was over halfway filled with water. I opened it up expecting to see a bunch of dead roaches, but lo and behold, all of them were still alive! One even molted to adulthood while essentially underwater clinging to the egg crate! Because of this, I think these guys have moved up to the top of my favorite list if I really have to pick a species
Some other winners in my book are
Gyna lurida for variation in color, ease of care, and the voracious nymphs,
Opisthoplatia orientalis is rapidly moving up the list based on color and how laid back they are and
Therea because who can say no to domino and question mark roaches?