Aule is my favorite because he's the closest to Melkor according to Tolkien, in terms of mentality. He was audacious enough to create something on his own but humble enough to destroy the original dwarf statues at Eru's behest.
I also think it's telling that two of Aule's people fell to corruption and their own ambitions / greed (In Saruman's case). Like... What was he doing wrong that made it so easy for his top Ainur to falter? Or rather, what is it about Craftsmanship that causes people to drift away from Eru?
All very interesting.
Aule is a very interesting character.
Him being the creator of the dwarves is something I liked, and I also liked that the two most prominent "evil" maiar were under him. I suspect that many of the Balrog were under his service if they weren't under Melkor's before they turned.
I like the reclusive Ulmo.
and Nienna just because of her pure compassion, and influence on Gandalf is felt in the lotr trilogy. I always felt that one of the reasons Gandalf grew to appreciate the hobbits so much was because of what he learned from Nienna.
I found that most of the lady Valar were underutilized.