From the followers I've adventured with so far:
1. Mjoll the Lioness. Do I even need to explain? She's just AWESOME.
2. Erandur. He's the one I've travelled the most with and had something interesting to say about any place we visited. Now unfortunately dead

3. Aela the Huntress. Ever since the Totems of Hircine, adventuring with her gives me this cool feeling of werewolf sisterhood. "We hunt together!"
4. Lydia. True, she's often more trouble than help, but she's been there for my character during those difficult low-level early days as the Dragonborn, and for that she deserves credit. Now retired at Breezehome.
5. Aranea Ienith. Cause a powerful mage who has your back is just what a warrior needs. Better than Illia since you can re-hire her.