It was quite hard to decide which one of my favourites would be the number one, but I chose Ulmo.
I do like seas, I do like swimming- but it's Ulmo as a character that fascinates me the most. Living alone in the seas as the sole king of his own subjects (I've always regarded fish and other sea creatures as Ulmo's humble, rather plain servants in a more concrete way than how the books tell it), far wiser and more powerful than them. He doesn't go to the meetings of the Valar if he's not in a mood for it and doesn't ask their permission to do what he thinks best; he remembered and protected the Children of Ilśvatar his way even when they were abandoned by the others. Also, I've always considered him the most powerful of the Valar, not a sad character at all. And anyway, he's the kind of person I always get attracted to.
I like to think that Ulmo's power still lingers in the seas and lakes of the world even though the other Valar are long gone. I had been quite afraid of water for years (for two reasons: when I was a child my cousin gave me a book with a horrible story about Näkki, the evil water spirit of Finnish folklore; and I read in a newspaper about a pike biting a swimmer's leg when I was a little bit too young). It was not until a few years ago that I started fighting that ridiculous phobia. It's somehow comfortable to think that Ulmo might still control the waters. And pikes are under his command and he won't let them bite my leg!
The other Valar I've always liked are Oromė and Aulė. Oromė is quite obvious; I like riding and exploring unknown places. Also one of my long-term dreams is to go hunting on horseback some day (of course not poor little animals but monsters and fell beasts).
I like Aulė's curiousity, his wish to create something of his own (especially as that
something was dwarves), but I've never felt any need to identify with him- I'm too impatient and lazy to be good at any kind of handicrafts, maybe apart from drawing.
And even though it certainly isn't so, I consider Aulė a little... simple. Anyway, he's still a sympathetic fellow.