Russia's my favorite. Specifically, "Russia" as in "the Soviet Union". I just like playing the bad guy, since they get so many cool and intimidating toys (such as the Apocalypse Tank, the very reason why I play as the Soviets in the first place). Also, I love the irony in an American playing as its most hated enemy in the last half-century.
Ever since I first played Red Alert 2 (back in 2007-2009 or so, since I got The First Decade version), I mostly played as Russia; the other Soviet factions - Iraq, Libya, and Cuba - simply did not hold my interest, as I preferred playing as the acknowledged superpower. When I first played Mental Omega (2.0c or 2.0psi version, I can't recall), the option of China opened up, but I still preferred Russia overall.
Now, with MO 3.0, I continue my tradition of playing Russia the most. The Allies I don't play all that much, despite the cool toys they have, since I don't like their aesthetics all that much in comparison. I don't know why I don't play Yuri/Epsilon very often though, despite liking their aesthetics - perhaps out my sympathies for the Soviets to crush the Allies, and to destroy the traitor Yuri.