I haven't really put a lot of thought into this. . . I think though, my favourite fantasy creature has to be:
Hell yeah.
EDIT: Really, the only fantasy creatures that have facinated me more (as in I actaully looked them up and did research on them) then the Headcrab have probably been the Slig from Oddworld universe and the Tauren from the Warcraft universe. . . But I love many fantasy creatures really. Especailly those with original designs. Mudokons (OW) and Vortigaunts (Half-Life) have both facinated me too, even though they're both distinctly humanoid.