I'd have to say Warlock. The theme is just wonderful and I absolutely love their moves. I played it a lot less in Cata/MoP though (partially because my server was mostly dead). But Wrath affliction was so much fun because of the damage/healing combos.
Destro is fun just for gibbing people, and it became really fun to play in BG's in MoP because of ember tap (survivability). Oh, and I can never get sick of popping cds and casting chaos bolt on some poor unsuspecting target.
Demo just makes me laugh. I played it for a while as a dwarf female (my main lock is undead), I put a /roar macro in my cds, and just did the stupidest stuff. It is just a lot of stupid fun.
Arena-wise, afflic is very satisfying and having the on-demand fear is always nice. I love wizard cleave--you can just turn around a match with a nice fear/poly combo. Warlocks have always been one of the more annoying classes to face (esp. with blood fear), and I guess I got some sick satisfaction when I played mine.
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Next in line would most likely be shaman. They have great lore and I love the hybrid playstyle. Ele is one of my favorite specs in bgs (especially Arathi/EotS because of thunderstorm, lol), but for arena my favorite spec is resto. They are huge burst healers and have so much utility. I hate fighting them, but I love playing them.