I choose Brynjolf; guy's as sly and wily as they come, but operates with a code of (semi) honor and is also capable of caring for those close to him (such as when, during one of the final missions of the Thieves Guild questline where you're preparing to infiltrate a dangerous house, he says that it's "the last place in Skyrim [he'd] ever want to send you". Throughout the TG questline I saw him as a bit of a big brother/mentor figure, and that feeling's just never gone away. I could just imagine him and I going around picking locks, nabbing priceless trinkets, and causing all sorts of crafty mayhem wherever we went.
Gotta love good ol' Delvin. Guy's got a good head on his shoulders; he sniffed out Nocturnal's curse when everyone else just rolled their eyes, offers training to the new guild recruits, and just seems like he'd be good for casual conversation (like sometimes he'll ask if something's troubling you, and that he'll listen). He'd make for a great quest buddy.
Delvin from the thieves guild would be a awesome guy to have as a friend. Parthunax is also a good choice. But I think the most interesting friend to have would Sheogorath Daedric prince of madness! Why? Because I think things would get so much more interesting. My last choice for a friend in skyrim woud be Galmar as he is just awesome!