The KX was my first "real" camera and has always been my favorite Pentax -- it was my grandfather's, I got it for my first photo class in the early 90s and still use it today. I love the match-needle meter and having microprisms as the primary focusing aid. I've been shooting with it so long that I can set the exposure pretty quickly, so not having an auto mode doesn't slow me down.
A close second is the ME Super, which is a great walk-around camera, but not great for shooting manual (IMHO). I think of it as an automatic camera with a manual mode rather than vice-versa. I love its small size and light weight.
A lot of people love the MX -- I got one from a friend and have never really taken to it. I find the shutter dial too hard to reach and turn and I don't like the LED meter display. When it's red, you could be 1.5 stops off or 4 stops off. A match-needle meter tells you right away if you're in the ballpark with an aperture adjustment or if you have to change shutter speeds.
Funnily enough (since you mentioned the Nikon FE), one of my favorite Pentax cameras is not a Pentax -- it's the Ricoh KR-10, which takes Pentax K-mount lenses. I got one in good shape from a friend (the "companion camera" to the beat-up MX mentioned above) and I fell in love with it. The feature set reminds me a bit of my FE -- electronic shutter, 4 sec to 1/1000 + auto (with a proper shutter dial), match-needle meter, mirror lockup. The Ricoh XR-2 is basically the same thing but adds a DOF preview and aperture preview in the viewfinder, completing the FE illusion. The Ricohs lack the small size and light weight of the Pentax Ms, and they feel a little cheaper and less refined than my Pentaxes, but what great cameras they are! And they're dirt cheap. Ricohs were rebadged as Sears, and I recently bought a Sears KS Auto (Ricoh XR-2s) for <$16 shipped with a Sears (Ricoh) 50/1.7. The Ricohs also have the split-ring focusing aid set at a diagonal, which I think makes it much easier to use. I'm amazed more camera manufacturers didn't do this.
I've also acquired a Sears KSX Super, aka Ricoh KR-10 Super. Don't like it as much as the KR-10. Hair-trigger shutter and the LCD meter display isn't as good.
To me, the ultimate Pentax would be a metal-boxy camera the size of an M, but with the XR-2's feature set -- match-needle meter, good shutter speed range plus auto controlled by a proper dial, DOF preview and a mirror lock-up. Pentax never made a camera exactly like that, but my KX and ME Super come close enough.
Aaron