Some of my favorite Chopin (note: these are not all complete sets, some are listed for just a few excellent individual recordings):
Preludes: Arrau (studio or live, they are both excellent), Gulda (a mixed bag, but he fares particularly well in the faster ones), Argerich, Richter (9 of them on the BBC Music Special Issue recording)
Nocturnes: Moravec, Rubinstein, and I've heard some of the recent live Gavrilov recordings and am seriously impressed. Pollini's set has its merits but if you don't like Pollini you won't like his nocturnes.
Ballades: Zimerman, Ashkenazy, Rubinstein, Richter, Gulda, Rachmaninov (#3), Michelangeli
Mazurkas: Rubinstein, Rachmaninov (in the two that he recorded)
Etudes: Pollini, Ashkenazy (specifically the early recording, although what I've heard of his later recording is top-notch as well), Cziffra, Richter (at least for those I've heard)
Waltzes: Rubinstein, Rachmaninov
Scherzi: Rubinstein, Ashkenazy, Argerich, Rachmaninov (#3), Richter
Polonaises: Rubinstein, Ashkenazy
Sonatas: Michelangeli, Rachmaninov, Rubinstein
Concertos: These are not really my favorite Chopin works, but I find Zimerman and Rubinstein perfectly satisfying here; Gulda is also excellent in the 1st.
As you can see, Rubinstein shows up more times than any other name. This is because I have yet to find a pianist that turns out as reliably superb Chopin nearly every time, covering almost his entire output. Ashkenazy, Rachmaninov, Michelangeli, Richter, and Zimerman are those that I've found to come the closest (although I must admit that my familiarity with Chopin pianists is not nearly as vast as someone's like sidoze's).