With the cast of characters that they have, there really wasn't any choice. Wei is literally made of awesome and there are few, if any, detractions from it.
Individually, everyone has something to offer, but the best part is that Wei functions as a team. There isn't anyone who hogs the lionshare of battles, nor anyone who gets left out. Even those with one or two battles get to really shine in the ones they participate in. And you don't see them fighting to get noticed - they all know that Cao Cao appreciates them in their own way.
Of course Cao Cao is a major reason why the kingdom works. Everyone shares his vision of a better, more ordered land, and they continually take action to make that vision come true. As a result, I also find the Wei hypothetical the most plausible and the most fulfilling. They are not building castles in the sky, they are laying foundations for a castle on solid ground.
In contrast, the other three kingdoms are unrealistic. Wu is extremely idealist in thinking that diplomacy can make everything okay, and that the kingdoms can co-exist with Cao Cao/Cao Pi and Liu Bei around. Sure Sun Quan was an outstanding diplomat, but even he had the ambition to own the entire land, not just a small portion of it.
Shu's 'benevolence' need not be elaborated on, but even Jin's idea of a kingdom ruled by smart people seem terribly vague. Who qualifies as an imbecile, and who not? Does it mean people who aren't 'smart' enough cannot get governmental posts? And isn't it really ironic that China's famous dumb emperor is Jin's very own Sima Zhong?
Only Wei seems to have a clear idea of what to do - to properly set up a government based on strict adherence to law and order. It wouldn't be perfect, but it is something that can be built upon. And it is also the most beneficial to the people - an end to the chaos means normal life can resume.
Plus this is also the kingdom which contains most of my favourite historical people (Cao Cao, Guo Jia, Xiahou Dun, Zhang He, Zhang Liao, Li Dian, Wang Yi), so it is very enjoyable to be playing as them.