I'm most successful in fantasy baseball, which tends to be my favorite fantasy sport for a variety of reasons. However, I don't find fantasy baseball (or any other fantasy sport for that matter) to be as addictive as in the past.
I play fantasy football as well, but I don't follow my team as well as fantasy player news as much as I do with fantasy baseball. I'm extremely apathetic about the NFL or just football in general.
I played fantasy basketball for one season and grew heavily disenchanted by January. I won the league quite handily but didn't care. I much prefer playing basketball than fantasy basketball, but honestly, I think I know much more about basketball from an analytical standpoint than I do with baseball.
I never tried fantasy hockey and was willing to do it last year, but forgot to actually join a league. Hockey, to me, seems like a fad that I participated in my teens.
The only other fantasy game (aside from fantasy baseball) that I play religiously is fantasy soccer. I have a team for each European league, a few in the Premiership, a few in La Liga, one in Serie A, and one in the Bundesliga. I've had a few teams win this past year in a salary cap league. Like basketball, I have a greater analytical knowledge of soccer than I do with baseball.
It's kinda like the Old Cafe - http://fbc2.freeforums.net