The first and most simple answer is that I find him aesthetically pleasing. Navy blue is my favorite color, the mouthplate and ruby eyeband makes him look mysterious, and most of all I love his voice. A voice can make or break a character, and his is perfect. The first time I ever watched Transformers was only a year or two ago when my friend showed me the movie. When I first heard Soundwave's voice, I immediately wanted to know who he was. Afterwards I constantly asked my poor friend questions about him, and as I learned more about him my interest quickly escalated into favoritism.
For as long as I can remember, I always tend to like "villians" that possess "heroic" qualities. Purely evil villains are too simple and predictable to connect with. The same also goes with "goody-goody" heroes. I find complex and mysterious villains incredibly intruiging. As a result I found Soundwave's steadfast loyalty to Megatron admirable. For example, in the episode "Make Tracks," the minute Megatron was wounded Soundwave and Rumble immediately came to his aid and carried him away from the scene. During "More then Meets the Eye" when Starscream raised his gun to shoot Megatron in the back, Soundwave immediately warned him. What makes his loyalty even more compelling is that he doesn't blindly follow Megatron because he's too incompetent to do anything on his own. He obeys Megatron because Megs is simply the strongest and most competent leader.
Out of all of the Decepticons, and probably all transformers in general, Soundwave is the most useful. He has the ability to make energon cubes, hack into computers, spy, communications/broadcasting, incredible audio abilities, telepathic abilities, medical, mechanical and piloting skills, as well as a minature army of competent and powerful cassettes. Even with all of these abilities he is still an above average fighter and with his cassettes can even hold his own against a team of Autobots. When you think about it, had something ever happened to Soundwave, the Decepticons would be severely crippled. In a sense, this also proves how much trust Megatron places on him. In fact, except for perhaps Shockwave, there is no other Decepticon that Megatron puts as much faith into.
Another thing I find so great about him is his almost nonchalance about everything. Always a symbol of calm and collective serenity, rarely does he show emotion in either his gestures or his voice. It gives him an aura of mystery, which is a trait that always draws me. What subtle hints of emotion that he does show have served to define his character. Such as his apparent worry when Ravage was almost captured in "Roll For It" and when he protected Ravage from Prowl in the same episode. Another example would be in the movie, when he shows concern for the severely wounded Megatron and carries him to Astrotrain.
Overall, there is no single answer as to why he is my favorite. He simply fulfills everything I look for - aesthetics, mystery and integrity.