ALL OF THEM. ALL THE RPS (except humans, I can't get into that nearly as well as animals. Sorries. ;-; ).
As far as animals go, though, I'm really not sure if I have a direct preference.
When I first joined FH, I was ALL about the wolf RPs, and I do think I'm at my best and most comfortable when I play as a canine. I also spent nearly two years on here running a wolf RP, but oddly, nowadays I haven't actually RP'd a wolf in some time. I still love them, but I just haven't had many inklings to break out any other canine other than Allegra, my fursona.
While I don't have quite as much time on my paws today to RP (sadface, but it's worth it in the end), I do tend to gravitate toward warrior cat RPs, much like Genny stated earlier. xD Why? I'm not sure, but I've noticed that I have been inclined to make very intriguing and more complex characters, and it just feels like warriors is a really good place to mesh in a new character, especially one whose personality is a little off the beaten path.
However, I'm game for multi-species RPs, simply because of their broad room for creativity, and I can get into almost anything else.
I have tried lion and other large feline RPs on multiple occasions, but with varying results. Sometimes I find myself growing bored with a character after some time, and so I feel like this would be a scene where a more complex character might be the key to keeping me intrigued. ^^"
So, no direct preference, though I'm on a bit of a warrior cat kick right now when I do find the time to RP.