I've got to admit, I liked all the kingdoms.
But the most i'd pick for had to be Cao Cao's kingdom as his personality and leadership skills were unique to every other kingdom.
Favourites of Wei have to be Cao Cao, Zhang Liao and Dunn, Wei were pretty much the best kingdom for officers that followed without giving a damn for anything else.
Wu I'm not particulally fond of, Sun Dian was kinda a rip of Liu Bei on the earlier games (same fighting styles etc), and I only really liked officers such as Zhou Tai and Tashi Ci.
Shu were a great empire for kindness, I see all you guys have Liu Bei and Zhou as your favourites.
Zhuge Liang had to be the best for me, after all; if it wasn't for him joining Shu it wouldn't have lasted long
![Stick out tongue [:P]](/emoticons/emotion-4.gif)
Overall verdict would probably be Wei though.