Depends on what part of the game you're talking about.
I prefer bishops, overall, because they allow you to lock down your opponent, and are very useful strategically later in the game. Bishops are able to cover more spaces than knights, making them the more useful of the two, in my opinion.
Knights are however good for blitzing the opponent, and, for what ever reason, people seem to concentrate more on the knights. Perhaps its the fact that they look like horses which draws people's attention, idk, but, they too have their uses. I prefer them marginally in the beginning, as they are useful for taking control of the center.
With my particular playing style, I like the rooks. I play in a Paul Morphy-ish style, taking advantage of gambits, and forcing the other person to react. Opening up the lanes for the rooks is one of my particular strategies, as the rooks are devastating at any point when unleashed. They aren't really game changers, but, they can take people by surprise.
The Queen, is my favorite piece, but, not the most useful by far. The queen has her uses, my favorite being the fear factor, as people seem to concentrate on her more. Having her in a threatening spot is always good enough to illicit a reaction from someone, despite whether or not it was my intent to harm them with the queen, thus, making it a very useful piece in that respect.
The pawns... are... well, there. They have plenty of uses, but, don't really thrive at anything.
Out of the choices, I'd rank them like this:
1. Bishops
2. Knights
3. Queen
4. Rooks(interchangeable with queen, which marginally overtakes them because of the fear factor)
5. Pawns
6. King