I think animals are severely under-rated as opponents in D&D. Part of this is the design flaw of level escalation. If a game stays at more "human-level" heroics, rather than "Justice League in fantasy drag" level heroics, animals in fact should always be dangerous. At least some of them. You ever faced a pride of hungry lions out on the grasslands at night when there's just four of you sitting around with swords by a campfire? How about a herd of angry mother elephants who think that their calves are threatened? Ever worried about getting trampled by a stampede of 1,500 to 2,000 lbs. bison? Ever tried to kill a grizzly in the woods with a bow and arrow?
In the real world, these are harrowing experiences, and the survival of the poor little human(s) involved in them is not assured by any stretch of the imagination. When you get a little bit further into more exotic animals--sabertooths, dinosaurs, etc., it's even worse. I mean, everyone's seen Jurassic Park, right? Well, T. rexes are a perfectly viable D&D animal. They've been out there since the first Monster Manual at least. SRD dinosaurs like Triceratops or Tyrannosaurus have CRs in the 8-9 range (curiously, the CRs are flip-flopped in the PRD for Pathfinder. But maybe that's not really terribly significant.) You've got to be a fairly high level party of adventurers to not be challenged by a CR 8-9 animal... especially if they appear in larger groups (as paleontologists think that they did.) Higher level, in fact, than research by WotC back in the day suggests that most groups routinely play. Higher level, in fact, than I'm really ever interested in running for my players. And even if you don't use dinosaurs, SRD elephants are CR 7, so they're in the same ballpark.
Vermin, on the other hand, I don't really have much use for. Yeah, yeah--I know. Giant scorpions are kinda a classic (Clash of the Titans, anyone?) but I just tend to think that giant bugs and stuff are kinda boring.
Rather than pick a single favorite, I'm going to have favorites for different purposes. As an opponent to be faced in a good encounter, I'm going with lions. At CR3, but appearing in prides, you can easily make an EL 5-6 or so encounter even if it's just a straight up fight. If it's an ambush hit and run, at night, when the lions have all the advantages (well, curiously, lions don't have low-light vision in the SRD, but I'd assume that between that and their scent, their knowledge of where the PCs are in a fight is preternatural) then it can be a harrowing encounter indeed for low level, or even mid-level (by my standards, where I tend to top off campaigns at 10th level, or even lower.) To mix it up, you can assume some cave lion type animals, or even just extraordinary individuals are actualy dire lions (at least in terms of statistics) to make it even tougher. As a familiar, I like a monkey. Agile, smart, funny, cute--what's not to love? Plus, it automatically makes any character seem more piratey to have a monkey around. As an animal companion, the trusty wolf makes the top of my list.