Mechanicus, space marines, and khorne are the top of the bunch, as others have said.
Inq, slaanesh, and imp navy are eh, situationally useful but not good.
Nurgle is a debated one, but the fact is that the additional population is nice, and the area damage is pretty terrible. The aoe is 2500 range, so you basically need to be within pissing distance to do a tiny amount of damage. But if you want to ram a ship into the enemy, nurgle is the choice. It's mediocre.
I haven't played tzeentch yet, the clone thing looks like it can be pretty useful.
But the favors are pretty underwhelming all across the board, especially for chaos. I'd like to see more interesting and/or impactful favors. There could be some really interesting gameplay tied to them, but we aren't getting close to that right now.