The star of King Kong, which I saw in late 2005, was easily the greatest of all CGI characters ever. But then I proceeded on watching Pirates of the Caribbean: Dead Man's Chest in early 2006, whose Davey Jones was so unbelievably real that I couldn't choose between the two. I checked web yesterday to see what others thought and it was roughly split between the 2, some also mentioning Gollum (Lord of the Rings trilogy) to be the winner. Davey Jones and Kong far exceed the overrated Gollum, and the two happen to be a tie, even though the Kong lovers defend him due to his greater interaction with the environment. If I was however asked to choose a personal favorite, it would have to be Davey Jones, whose piercing eyes and screen presence is unbeatable.
On a related note, I was surprised to find that many viewers found Davey so real that they thought it was (incredible) make-up work. The same happened to me regarding the first installment of the trilogy, The Curse of the Black Pearl, and in my case it was the transformed, skeletal pirates.