In-game and in lore.
My favourites are probably Vivec, Sotha Sil, Dagoth Ur and Tiber Septim because they're just cool. Also Ma'iq the liar, the mudcrab merchant and Sheogorath because they're hilarious, Count Hassildor of Skingrad for being one of the few NPCs in Oblivion to (rightly so) call the player an incomptent imbecile instead of worshipping the ground they walk on, Uriel Septim because he was voiced by Patrick Stewart, and the Orc from the dark brotherhood sanctuary in Cheydinhal.
Also all the Ordinators for their bloodthirsty one-liners.