I can only talk about Skyrim's factions, and my favourite is the Dawnguard by default because I feel all the rest have massive flaws.
I hate the Thieves Guild because I dislike being forced to sell your soul to Nocturnal to finish the questline, and working to help Maven Black-Briar, Olfrid Battle-Born and Erikur makes me sick. I also dislike how the Thieves Guild think they are such admirable moral people because they only steal and frame people but draw the line at murder.
The Companions infuriate me because I hate that you are forced to become a werewolf, slay a fort of Silverhands to celebrate my transformation and help Aela on her quest for vengeance without the chance to say no, suggest that maybe the Silverhands hate werewolves because we keep killing them or dob her into Kodlak.
The 1021 pages of the Imperials vs Stormcloaks thread have eloquently stated the reasons both these sides are immoral idiots who deserve nothing but scorn, so I won't repeat myself.
The Mage College might have been my favourite. I find their dedication to knowledge admirable and I love going through the Labyrinthian while Morokei taunts you. But I was pretty taken aback when I was made Archmage the first time. I couldn't believe they overlooked all the professors and students who'd been there way longer than me when I'd been there less than a week.
Volkihar vampires and the Dark Brotherhood I hate for subjective reasons: I find it strangely hard to hurt or kill innocent NPCs. I knew I was sticking with the Dawnguard when I walked in and saw the vampires chomping at people lying on tables.
It was really hard for me to kill Narfi and the ex-millworker and Maro's much loved son. But I did. And I felt I was rewarded emotionally as well as financially. The Dark Brotherhood was the only faction whose NPCs I felt a genuine connection with. I really did feel I was part of a family. I loved how they welcomed me, and how I earned the respect and affection of them all, even the crankier ones. Then they all got killed except my two least favourite. fluff you Bethesda.
And on the subject of Oblivion's Dark Brotherhood, I have to share this. Oblivion was apparently identical to Skyrim in the NPC AI being as dumb as rocks and a profession that had a strange aversion to wearing pants:
http://cowboypunk.deviantart.com/art/Lets-Play-Oblivion-MURDERER-274012539