I must admit I have a soft-spot for demons. I have quite of few of them in my collection of miniatures.
Here are some of the ones I've painted so far:
Nurgle Plaguebearers, from GW. It was quite an easy task to paint them, simply by using the famous drybrushing technique (not everyone's favourite, but it does work well with these models).
Bloodletters of Khorne, from GW. Again, the use of drybrushing was a must for these guys. I put some extra-effort on the banner.
Demons, from Hell Dorado. My girlfriend would strongly disagree, but I think these miniatures are awesome. There is a lot of detail in here (including a helpless victim inside the belly of one of these beasts).
In fact, the whole Demons range in Hell Dorado is well worth a close look.