This time, I'm going to have to go with a cliché: my favorite monster is the dragon. They're the ultimate monster, as far as I'm concerned.
Dragons are not only monstrously powerful in a physical sense, with their claws, breath weapon, and massive jaws, but they're also intelligent and, in most editions, natural spellcasters. Great wyrm dragons are incredibly scary monsters because not only can they eat an adventurer in a single bite, but they can also cast high-level spells, possibly incapacitating entire parties with spells like Power Word, Kill or Mage's Disjunction.
I'll have a longer post up in a few days or so detailing a lot more about dragons, their lairs, and items they may value in their hoards, but for now, I think it's worth mentioning that there is a reason dragons are in the name of the game. These are classic “boss” monsters, and they should be treated as such.