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Bug, Flying, Ghost, and Poison are probably my top 4. I think Bugs are just the best designed Pokemon, and real-life bugs are pretty goddamn fascinating. Birds are my favorite Class of animals, so Flying's a not-too-distant second, plus the idea of flying is pretty sweet. Ghost and Poison Types both tend to look really cool and have interesting concepts, but Ghost has the edge over Poison as it was my old favorite Type. All together, I think these Types really capture the essence of a monster collecting game.
My favorite Types have no bearing on my favorite Pokemon, though.