Ah, monsters. The heart and soul of many a fantasy RPG, especially D&D. The vast catalog of monsters was always one of my primary attractions to the game; even before I was really playing it, I noticed the original AD&D Monster Manual on bookstore shelves and thought it looked interesting as... well, as a catalog of monsters, unrelated to gaming. That said, there are many aspects of monsters in D&D that are simply quite foolish, in my opinion. Undead in particular suffer from this.
I like undead a lot. Given that I routinely characterize my campaign as as much horror as fantasy, this should seem natural. The word undead itself (in the sense of a dead creature returned to unnatural life, not in the sense of simply being not-dead, which predates Stoker) seems to most likely have been coined by Bram Stoker and was an alternate title to his novel Dracula. From ancient folklore and mythology to modern horror flicks, undead still reign nearly supreme as the fundamentally unnatural horror opponent.
However, in D&D undead are often confronted by the cleric, a made up archetype that has little literary or folkloric precedent, and my least favorite class (conceptually) of any ever published for D&D. The cleric's Turn Undead abilities often function as a de facto "get out of undead free" card in a very real sense, meaning that undead are either quite horrible (or worse, simply frustrating) to deal with for parties that don't have clerics, and merely a boring speed bump for parties that do.
The other problem (and this isn't unique to undead, although it seems perhaps a bit more acute in that area) is that the same monster conceptually has proliferated into a huge variety of similar monsters in the game, often using a thesaurus to create new monsters out of synonyms for an existing monster. In some cases this is merely to add variety, but in some it's to have the same conceptual monster be available at varying levels of play. This is an unfortunate artifact of the design decision of D&D back in the day to be an exponentially increasing PC power curve, a problem that has become runaway in many versions of the game, rather than being fixed. This variety means that undead in D&D is increasingly bizarre, esoteric, and strange. I'd like to see the power level convincingly fixed and flattened, so that existing monsters can be properly challenging for a much larger stretch of a normal PCs career. I'd also like to see monsters collapsed into fewer monsters, with a la carte options as monster powers. For example, incorporeal undead can have as a menu the CON drain of the wraith, the negative levels of the spectre, the Madness attack of the allip and many of the abilities associated with the ghost template (from a 3.5 perspective, the version of the rules with which I am most familiar.) GMs could then pick which ones to use based on any given campaign's needs, while not putting forth the bizarre idea that there are literally dozens of minor variations on the same concept of "ghost."
But, my reservations about the state of the game (and the place of undead within it) notwithstanding, I need to actually pick a favorite. For that, I'll go with the eldritch from Privateer Press's Monsternomicon. Conceptually, the eldritch is basically a vampire. But, rather than being a specifically Count Dracula like being, with the exact same traits, abilities and weaknesses as evidenced in his novel, the eldritch is a bit different. More flexible. More scary, really, in most respects. I use the template, ignore the restriction that it only be applied to elves (since my setting has none anyway) and call the result a vampire. Done.
You can pick up a pdf of the 3.5 update (the original was in 3e; I have that in hardcover, and the update in pdf myself) right here from the good folks at Paizo.