As a DM, what's not to love about undead creatures? Sure, pesky clerics and paladins can foil your plans, but there's still that "oh crap, not undead!" moment when the encounter first unfolds.
My runner-up to favorite undead monster is the spectre (as least from 1E/2E). No offense to vampires, but spectres always made me groan "oh no!" whenever one or more would lay into the party and start draining levels. Same goes for our lower-level characters when wraiths and wights attacked. Ghouls were always a handful as well, just minus the level draining.
But I have to go with the lich as my all-time favorite undead monster. Any time one of our DMs would table a lich, you knew it was time to step up or curl into the fetal position - a lich battle was never, ever easy (unless you rolled crit 00 and killed it with the first swing - but how many times did that happen?). There have been several liches of note in AD&D modules and adventures: the lich from D1, the demi-lich from S1, Szass Tam (ruler of Thay in the Forgotten Realms), just to name a few.
If your party was strong enough and smart enough to best a lich, the thrill of the victory was short-lived, because you still needed to locate the goddamn phylactery! No one could relax until that was dealt with, and then and only then could you think about looking for the lich's loot stash.