This is dependent on your experiences and meta. The three most common I see are Elsepth, Knight Errant, Gideon, Ally of Zendikar, and Sorin, Solemn Visitor. Some run one or the other, some mix them.
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Sorin, Solemn Visitor
- +1 for +1/0 and lifelink until your next turn. This is a great combat buff and helps you mitigate life loss from fetches, shocks, and Bitterblossom. The -2 is okay if you need a body, but if you do you're probably in a losing position. -6 is a win more ultimate, but it can be used if you happen to draw multiple Sorins and get one to 6. Most of the time, Sorin is weaker on an empty board compared to Elspeth or Gideon. However, on an already developed board, Sorin cranks everything up to 11 and his +1 the reason I'd recommend him in addition to the other Planeswalkers. Run 1-2.
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Elspeth, Knight-Errant
– Two +1 abilities? That's nice. Two relevant abilities compared to Sorin's one. Give you a 1/1 or buff a creature for an alpha swing. The flying doesn't matter much but it does become relevant sometimes. If you already have a nice board or a Bitterblossom out, the second ability is pretty great. Compared to Sorin, Elspeth performs greatly in both an empty board and a developed one. Run 1-2.
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Gideon, Ally of Zendikar
– The new Gideon has replaced Elspeth in a lot of ways. The +1 ability is useful but not usually depended upon. His 0 and -4 ability are most often used. Gain a solid 2/2 body or give all of your creatures +1/+1 permanently. He is good for the same reasons Elspeth is, and I'd go out on a limb and say his permanent buff makes him a little bit better than Elspeth overall. His big downside, however, is his survivability compared to Elspeth. Run 1-2.