Well, I'm biased, but Cicero's pretty awesome

Plus I think he has stealth/muffle boots by default so he won't give away your location as much as other companions might.
Other than that, it depends on what you're looking for. If you want a bit more damage, might want to bring along a mage. I hear they're pretty effective (there's one at Azura's shrine who is also quite beautiful, in my opinion). Or you could bring a warrior to take damage for you, just don't be surprised if they're attracting every enemy in the dungeon due to their loud armor.