I like the Kagamine Twins as well, but my favorite Vocaloid is Kaito, actually. My favorite songs have to be either:
http://www.youtube.com/watch?v=36VycTp0pLgI just love the beat for this song, and the story behind it.
Or:
http://www.youtube.com/watch?v=jsXh-A_SBeAI love how Kaito's voice sounds, and once again, I love the story. (I'm also a sucker for anything having to do with the Story of Evil, but one battle at a time)