Of the Apple bands I have experience with my preferences for comfort are: Sport Band, Nylon, Sport Loop. I should note that I've worn the first two much more than the Loop so perhaps I've not given it a fair shot. The sport band is not breathable, the Nike version is what I like the wear during workouts and I find it to be quite comfortable none the less.
The nice thing about the loop is they fit such a wide variety of wrist sizes, whereas the other two do not. Yes the Sport Band has the L/XL size but that's an additional purchase/manufacture/stocked item.
Now if we're talking about any band, including 3rd parties, hands down the leather bands by FFF are the most comfortable I have worn.