For the most part, there really isn't one "Best" factory. There are a few that consistently return good profits at various stages though, if only because everyone needs the output.
When building up industry, key things to look at is what you produce from RGO output, what you have to buy, who else is buying (specifically their rank/prestige) those goods, and who needs the factory output.
If you're not in the top 10, look to build factories that you can supply internally. If you're building a factory that requires goods you don't produce, find out who else is buying them. If you're a higher rank, you get dibs and you're fine (as long as the requirements are cheap). If you are a lower rank or demand on inputs is high and inflating the cost, either change plans or take the opposing country down.
Likewise, even if a good is not in demand, try and find out who needs it. Just because the world as a whole doesn't need... say, aircraft, for example... doesn't mean one country won't buy up every last plane you produce and make you a killing, strictly because you're the only guy building them.
There's little point in building a wine factory (which can be very profitable), if you don't have sources of glass or fruit. The market could be flooded with both, but if Great Britain is buying all of it for their own wine factories, you're screwed. This is why you can build a factory for a product that looks like it's in high demand, but still go bankrupt. You either cant afford the input, or have nowhere to send the output.
If you're in the top 3 or 4, this is less of an issue, mainly because you'll have first dibs on the world market.