My favorite has to be Shadow Man, although Quickman comes in a close second! I mean come on, not only is Shadow Man a ninja robot (!) but he also rides around on a giant robot frog! Plus, yeah, he's an alien, or at least its highly possible he was, as he was found by Dr. Wily deactivated and made of some strange unearthly alloy he used as reference for the other robot masters of MM3. Plus, yeah, he just looks cool!
Hurray for robot-frog riding, alient ninja robots with giant shurikens!