I like a smart, intelligent, witty devil. In the movies and books some of my favorites have been portrayals in Anne Rice's "Memnock The Devil"--although part of her Vampire Chronicals, it was my favorite volume of that collection. It had less to do with Lestat (definately one of the all time great vampires) than it did a twisting of the age old good vs evil battle. It was a great read. It does kind of make me laugh at her more recent turn towards Christian novels though.
Another of my big favorites Peter Stormare as the devil in "Constantine." He just had a bit part towards the end, but what a good one. He was the perfect 'devil.'
Oh, and who can forget the marvelous Lucifer in "The Devil's Advocate?" There was a terrific example of the devil in a movie played with such panache and skill by Al Pacino.
I like a devil with a bit of a dry sense of humor. Who looks at his part in the world's history with pride and a sense of honor and at the same time a flippant humor towards his perceived end. It's funny how Keanu Reeves so often is the devil's hackey-sack isn't it? He does a pretty good job of that too.