My favorite Legion is the World Eaters. They understood what they were good at and embraced it more thoroughly than any Legion. There is a strong martial honor about them, as well as an inherent tragedy that I find very compelling.
My favorite Primarch is Sanguinius (shocker, I know). I see him as a being as wracked by inner turmoil as Konrad but without an inherent selfishness that feeds off of that turmoil. Plus, I love the concept of a doomed angel.