It's so hard to pick a favourite. Part of me wants to go with Dahmer, 'cause he was local (as were Gein and Spanbauer, and several others I can't think of off the top of my head - Wisconsin is kind of known for 'em).
The reason I research and read about serial killers is because they're one of the few things that I find truly scare me. Most horror doesn't do this - anything that involves monsters I know not to be real. Serial killers, however, are real. What they did actually happened, and there are more of them out there right now. And they can be almost anyone. This terrifies me, yet compels me, because... well, people like to be scared.
I bring all of that up because the more I think about it, the harder it is to pick a favourite (and, also, favourite implies admiration, and I do not admire these people; they're horrible and vile excuses for human beings). Dahmer is one of the most horrifying, although Richard Ramirez comes close as well - both knocked into that upper level reserved for people like Albert Fish simply because of the cannibalism aspect. Among the most interesting, I could rattle off names like Ted Bundy or Dennis Radar or Edmund Kemper...
Really, it's hard to pick just one. And some might not even count as serial killers. H.H. Holmes and Carl Panzram were serial killers who I never felt were very serial killer-like, with the exceptions of their body counts (I have a friend who considers Jack Kevorkian to be a serial killer, and I argue he isn't). Then there's the fascination with those that remain uncaught - Zodiac, the Mad Butcher of Kingsbury Run, the Axeman of New Orleans, and, of course, Jack the Ripper...
I could seriously go on. And on. And on.