It's a hard choice... I haven't really defeated all of them yet so i can't really form opinions on all of them.
Wall of flesh was definitely the most interesting one so far for me... i just don't like the requirements to summon it. (i get very emotionally attatched to the npcs, especially the guide, i mean, the guy's with you since the very beginning then you just straight up sacrifice him.)
I do enjoy king slime though, i love messing with the slime hook. Also slime rain can be a fun event when you're up for it.