Hell, try naming your favorite Romulan.
That Romulan from The Defector.
What do you mean I can't remember his name? Shut up!
Nero, in my personal opinion, was not a Romulan.
He was Nosferatu. Those were not Romulans at all in that movie, they were JJ asserting his power over Trek by turning every race into generic goblins.
I don't think there's ever been a particularly good Romulan though.
For Klingons, I'm going with Martok. He was awesome. And Gorwon was cool too. I called him crazy eyes.
And Garak and Dukat were both standout characters. Dukat's replacement in later seasons was terrible though.
Damar had a pretty awesome character arc though.
Favorite Klingon: Gowron or Chang
Favorite Cardassian: Dukat. I agree that the Cardassians tended to have a better supply of developed and interesting characters. Maybe it was more due to DS9's stationary setting, where the writers could more easily (and more frequently) bring in background characters and flesh them out.
Favorite Romulan: Defector Guy
Yeah Romulans get the short end of the stick, which is too bad as they were pretty good villains. TNG tried to establish them as a major, recurring villain but, for some reason, they just couldn't do it. Tomalak (sp?) was on the show too infrequently to be an effective, recurring character and the few times he was, none of that time was spent fleshing him out. As it is, he had villain-of-the-week syndrome, show up, threaten the cast and then, at the end, he would be shaking his fist and cursing about how would've gotten away with it all if it weren't for those 'sneaky Federation officers and their darn android.' It certainly didn't help that they were largely phased out around Season 4-ish which was too bad, as the Romulan and Klingon-heavy episodes leading up to the Klingon civil war and the Unification episodes were frequently some of the best. Oh well, poor Romulans.
As for Nero, he's less a character than a plot-device. It's kinda like calling the giant probe from Star Trek IV one of the best Trek villains. Eric Bana did well with what he had, but the role was so boring. His job was to provide an element of danger and get the crew together, which he did, so kudos to Nero... I guess.