I've managed them all..
Hated being Liverpool, mainly because I couldn't get the formation and philosophy etc correct and results wouldn't follow. Also, as I'm listed as a Manchester United fan, the fans didn't like me too much and I was under more pressure. Also, didn't know who to sign and what was a good deal etc.
Didn't mind being City. I usually am City as one of my first games to get into it, with all their money etc it's easier to get used to the game and I can look for the youngsters/superstars for future games.
Can't be Chelsea, they're just not fun.
I actually rather enjoy being Arsenal, I like trying to get them to play the way they play in real life but making them more successful. In fact, I had an 8 season game with them on FM11 when I developed my tactic for them - only stopped playing it because 11.3 came out and I wanted to start a Manchester United game on that (into my 12th season on that now).