I've said it before, and I will again (in fact, here I go right now!) but I think the game Dungeons & Dragons almost should have been called Dungeons & Demons instead. The iconic foes of entire campaigns are not, in fact, dragons, but high level demons. Particularly demon lords; the unique, ruling, powerful creatures who have darkened the table of many a game since at least AD&D's Monster Manual if not earlier. Demon Lords play a prominent role in the adventure paths (Demogorgon in particular in Savage Tide.)
Keep in mind that while the Adventure Path as a specific form of campaign adventure is relatively new (piloted with Paizo's run on Dungeon in the later days of the 3.5 era) more loosely, you could say that they existed earlier in the G series, or the D series of modules from the AD&D era. In these, demon lords also featured prominantly. In addition, such classic modules as The Temple of Elemental Evil or Dead Gods also focused on the plots of demon lords. I honestly believe that demon lords are the iconic high level opponent for PCs, and the fact that they can have servitors, minions, and patsies that the PCs must thwart from the very early levels makes them ideal mastermind menaces for an entire campaign; a role that few other monsters can take on credibly.
And even if you don't actually mean to ever fight them in personal combat, they still are just so iconic, their imagery so fascinating, and the background information on them so interesting in its own right, that the demon lords easily get my vote as the best Immortal/Outsiders in D&D. In fact, I don't intend for them to ever fight PCs directly in personal combat at all, unless it's meant to be a complete rout or TPK for come-uppance (and that's a situation I prefer to avoid.) I really like the "Demonomicon of Iggwilv" series of articles in Dragon that had the demon lords statted up, clustering around CR 30. I have no intention of ever running a game over about 10th level. Heck, at 10th level, even the Fiendish Codex versions of the demon lords that barely top out over CR 20 are still pretty much out of reach in a direct confrontation. That's totally OK.
But... which ones, of course? Some are better than others. Juiblex, for instance, is basically just a shoggoth, except somehow a bit sillier. The Queen of Chaos is Ursula from The Little Mermaid. Zuggtmoy has both a silly name and a silly concept.
The "big three" demon lords are, however, clearly Orcus, Graz'zt and Demogorgon. While, to my mind, Dagon is a "newcomer" that approaches them in terms of coolness, he lacks the iconicness, since he wasn't established as a D&D entrant until late in the 3.5 era life cycle (he makes up for this by being an actual Philistine god, adopted by H. P. Lovecraft as the shadowy figure behind some of his most iconic stories, though.) Among them, it's really tough to pick a favorite. So I'm going to fudge it and just say all three (or four.)
Here's some pictures of Demogorgon, by the way. I already did some Orcus ones earlier in this series, so it's the two-headed baboon-headed guy's turn. Both of these pictures are thanks to Paizo's run on Dragon and Dungeon. There's another great Wayne Reynolds picture of him too, but digital copies of that image are not easy to find...