My vote goes for Grand Duke Nicholas Michaelovich, "Uncle Bimbo". A big bear of a man, with a brilliant mind, sharp wit, and huge sense of humor. He was never caught up in the "Grand Duke" thing, treated the men in his regiment as total equals, and drove Alexander III nuts by driving around Petersburg and even to the Palace in a simple old "izovtchick" drawn by one old nag horse while chomping on a cigar.
He was a brilliant and serious historian, who was granted unlimited access to the Romanov family archives and who wrote several highly important history books on the reign of Alexander I. He was never afraid to speak his mind openly, and did so often. He drove Nicholas II nuts with his anti-war and anti governent speaches in Petersburg during WWI. He was also an expert on French history, and earned honorary university degrees. Sadly, he was trapped by being a GD, and so could not really "work". I like the guy, alot.
PS. He was madly in love with his first cousin, Victoria of Baden, but (despite MMR's claims of such practices) this marriage was forbidden because the Russian Orthodox Church forbade first cousin marriages (see pg. 83 "A Romanov Diary" by Grand Duchess George)