Although I like to search just about any coin. I would say my favorites are in the following order:
1. Nickels
2. Pennies
3. Halves
4. Dimes
5. Quarters
6. Large Dollars
7. Anything but SBA/SAC/Pres Dollars
8. SBA/SAC/Pres. Dollars
Although the return on investment currently isn't that great, I think the reason I like nickels is the following:
1. The number of "keepers" per box (average around 25)
2. The frequency with which I find pre-Jefferson nickels is much better than the frequency with which I find Mercury dimes or Indian head pennies.
3. Usually about 1 silver war nickel per box.
4. Relatively low cost.
I have always enjoyed pennies because of the sheer number you can search for the cost. the only pain is cashing them back in when you get $200-$300 worth. :P
Halves are currently high on my list, possibly even above pennies mainly because I don't have many pre-Kennedy halves and I only recently began to search them regularly. The only reason, they are #3 is they are a pain to acquire in volume compared to pennies due to availability and cost.
I actually have never really searched SBA/SAC/Pres. Dollars as of yet, though I have considered trying it once just to see what I find. One of biggest concerns is finding too many foreign coins per box to justify the cost of the search since each foreign coin in a SBA/SAC bag/box would cost $1 each and I don't know where the payback would come from... proofs maybe if you can find any.
I have also always wanted to go try searching canadian coins just to see what I find... particularly dimes, quarters, and halves since their switch from silver was more subtle to the naked eye. But I haven't yet gotten the chance, at least not yet. I tried once at a Canadian casino, but it was already coinless 9 years ago when I was there. Or was it that they didn't use real coins. Either way, there wasn't anything to search.