My all-time favorite is John Wayne. Like Hos said, I don't think he was necessarily the best actor, but it's a nostalgic thing for me. So many of my favorite memories are of watching his movies with my parents and siblings. He also represented an American hero well.
I have a list of my favorite movies and realized that Kevin Costner is in several of them (Dances With Wolves, Untouchables, Field of Dreams, 13 Days, Open Range, etc.), so he belongs very high on my list.
I think the late Glenn Ford is one of the most underrated actors of all time.
My other favorites:
Clint Eastwood (Outlaw Josey Wales is my favorite ... also like Absolute Power, In the Line of Fire, Bloodwork and the Harry Calahan films).
Robert DeNiro (Heat, A Bronx Tale and Midnight Run are my favorites).
Robert Duvall (Lonesome Dove, Open Range, The Natural).
Kurt Russell (Tombstone and the old Disney stuff from the late 1960s).
Richard Farnsworth (The Natural, The Grey Fox).