Dunmer, closely followed by Khajiit.
Imperials would be last for me; they weren't even in the games prior to Morrowind, were fairly generic in Oblivion, and are bland Roman copies in Skyrim.
Imperial lore is actually very interesting, they are not Roman copy, they are based on Roman, but not completely.
Do you know that they came into existance due to the mixing of the bloods of atmoran,nedes,ayleids,and even akaviri? That's the reason their culture are so diverse.
That the making of their religion (The nine pantheon) includes removing elven aspect from the time god to create akatosh and along the line cause dragon break?
That one of their hero Pelinal is a controversial figure? Some says that he's avatar of the Lorkhan and Shor, some says he's a robot, etc.
And that another of their figures Reman Cyrodiil is also controversial? Some says that he was born from Nirn itself as the result of St. Alessia love making with nirn.
There are plenty of interesting Imperial historical figures and culture and history. St. Alessia rebellion in itself is fascinating.