My favorite's always been the deep-fried cake donut, unglazed. But I also like crullers, either glazed or with a drizzle of icing, and chocolate iced bar donuts, too.
I don't like any type of filling. They never taste right to me. They're either too sweet, or they lack flavor.
But I'll take a nice, flaky cream-puff over a donut every time. The cream has to be super light and airy, though. I actually get angry when a bakery stuffs the puffs with a freakin' log of cream.