Connery, by a considerable margin. The man IS James Bond.
He plays it so well, it's effortless - Bond is a smooth, yet when necessary brutally efficient agent and in my view Connery is the only one who truly managed to deliver that in a performance.
Lazenby tried his best, but ultimately he was just wrong. Roger Moore put in a good turn in Live and Let Die, but after that turned the whole franchise into a joke (and not in a good way). Dalton was good, but the films struggled to achieve the large task ahead of them - shake off the stale campness of the overlong Moore era and at the same time successfully marry the classic elements of a Bond movie to the more extreme environment presented by action movies in the 80s. As others have said Brosnan came out of the gate with a really good effort in Goldeneye, and I must admit I do rate him as a Bond, but he was let down by doing just 4 films only one of which was really good. As for Craig, well he tries hard I'll give him that, and Casino Royale was good, but he's just not Bond - he can do the "blunt instrument" element of the character but that's about it. Also James Bond shouldn't be a blonde short-arse so Craig was always doomed!