Depends on situation. Let me see ...
Defense:
1. Late game (when just about all of the available tech trees have been discovered): Stealth Fighter. Very good to have a 'ring' of outer cities with SFs to pick off barbarian hordes, incoming enemy forces including diplomats/spies, also to use them to perform continuous recon to maintain up-to-date border situations.
2. Before Gunpowder: Phalanx to garrison my cities, preferably veterans. Compared to other units, a lot of bang for a buck for city defense. Offensive units are nicer, but they are considerably more expensive to build. Not to mention they divert the resources needed for city improvements and building settlers.
Offense:
1. Late game: Destroyer. Offers the best movement rate for a naval unit. Excellent for maritime exploration/recon and picking off hostile transports, as well as protecting your own transports. Super cool if you have Magellan's and Nuclear Power = 9 movement points! Not getting the most bang for a buck if used for naval slugfest. Runner-up: Subs armed with cruise missiles -- excellent for softening up enemy defenses before friendly ground offense, as well as sweeping away hostile capital ships in your path. Drawback -- takes a while to assemble a large enough sub fleet with a large stockpile of cruise missiles.
2. Until mid-late game: Diplomat. Bribery can do many things (provided that your treasury is pretty well-stacked) that conventional military operations are not as good at.
3. Early game: any NON units, particularly NON settlers and horsemen. Need to grab as many real-estate as possible, preferably a vast stretch of area away from other civs.