The TIE Interceptor is currently my favorite ship in X-Wing. I'm not sure that it's the best, but I have the most fun playing it. It's the definition of a glass cannon, with 3 Firepower, 3 Agility, 3 Hull, and no shields. However, it has a great action bar with Focus, Evade, Barrel Roll, and Boost.
The TIE Interceptor possesses a really impressive movement dial. With 1 turns, a full array of 2 and 3 maneuvers, and both 4 and 5 straights and a 5 k-turn, you've got a ton of choices. In addition, all of your 2 maneuvers and most of your straights are green, allowing you to shed stress very easily. With the k-turns being your only red maneuvers, Interceptors can take great advantage of abilities that stress them.
Push the Limit is considered almost a requirement for Interceptors. They drop their stress quickly and really make good use of 2 actions a turn. This has two basic uses. First, you can use it for positioning, barrel rolling and boosting after you finish your move. This provides some serious mobility and allows you to avoid enemy arcs or get into good shooting positions. The other use is defensive. If you know your Interceptor is going to take some fire, Evade and Focus so that you have both of these tokens to use defensively. This doesn't make Interceptors particularly tough, but it's way better than nothing.
The Royal Guard TIE Title is a free title that allows the more elite Interceptor pilots to take 2 modifications. One is almost always Autothrusters, giving you extra defense against turrets and long range shots. The second modification is more flexible. Targeting Computer gives some extra killing power. Stealth Device is a good defensive upgrade if your pilot will be stacking Evade and Focus tokens, while Hull Upgrade or Shield Upgrade are better if the pilot won't be taking defensive action. Finally, the Twin Ion Engine Mark II makes your 3 bank maneuvers green, making your Interceptors more maneuverable when stressed.
The basic Interceptor is the Alpha Squadron Pilot. With PS1 and no EPT, he's cheap and pretty lacking in customization. You won't see Alphas very often, as they lack the ability to take all of those juicy upgrades that allow Interceptors to survive and zip around the battlefield.
Avenger Squadron Pilots pay an extra 2 points for an extra 2 points of pilot skill. Again, Avengers lack an EPT and the ability to take a Royal Guard TIE, so they'll have a rough time performing.
Saber Squadron is Baron Soontir Fel's squadron, part of the 181st Imperial Fighter Group, and protected the second Death Star. They're easily identified by the blood stripe honor markings on their wing panels. Saber Squadron Pilots are the cheapest Interceptor that you are likely to see, as they have an EPT and can take a Royal Guard TIE. Sabers are a solid choice if you want a cheaper but still useful Interceptor.
Fel's Wrath is Saber-3, and was Soontir Fel's wingman. His ability allows him to attack even if he is destroyed by a higher PS pilot. That's kind of cool in a kamikaze way, but abilities that only trigger when you die are generally not very good. He's also hampered by his lack of an EPT.
Lieutenant Lorrir was a member of the 181st Imperial Fighter Group, though he defected after the Battle of Endor. His ability allows him to use the 1 bank template when barrel rolling, giving him a lot of flexibility with that maneuver. However, doing so gives him a Stress token. Combined with his lack of an EPT, this makes Lorrir an underwhelming pilot despite a pretty cool ability. Still, if you like positional shenanigans, he's a playable choice.
The Royal Guard Pilot is a generic with an absurdly high PS6 and an EPT slot. You will see these quite often as a cheaper Interceptor, as they're only 1 more point than a Saber Squadron Pilot for 2 points of pilot skill. Not a bad deal at all, and they give you an excuse to play with the cool crimson TIE Interceptor from the Imperial Aces set.
Kir Kanos is an Imperial Royal Guard whose adventures are chronicled in the Crimson Empire comic book (the first volume is an excellent read). Unfortunately, Kir Kanos is more of a hand-to-hand expert than a pilot. He lacks an EPT, but has a pilot skill that allows him to spend 1 evade token to add an extra hit to his attack roll at ranges 2-3. This isn't bad, allowing him to snipe at the enemy from a distance, perhaps taking advantage of Autothrusters to increase his durability. However, he can't really measure up to the remaining Interceptor Aces.
Tetran Cowall was a famous Imperial actor who was eventually hired by a separatist warlord to impersonate Baron Soontir Fel and lead his own version of the 181st Imperial Fighter Group. Despite being an actor first, he's actually a fine pilot with PS7 and an EPT. His ability allows him to choose to use the 1, 3, or 5 template whenever he reveals a k-turn maneuver. Tetran Cowall is the one Interceptor pilot that I don't give Push the Limit. I prefer to give him Stay on Target, which allows him to change his maneuver to another maneuver of the same speed when he reveals his dial, and receive a stress token. This means that when you reveal a k-turn, you can choose any of your 1, 3, or 5 maneuvers instead. That's an absurd amount of flexibility and a lot of fun to fly.
Turr Phennir was another member of Saber Squadron, second only to Soontir Fel. His ability allows him to perform a free boost or barrel roll action after attacking, which allows him to dodge out of his target's firing arc. This is often paired with Veteran Instincts so that Phennir can attack before higher PS pilots, but I prefer Push the Limit. This allows him to perform 3 actions a turn, and he can activate Push the Limit off of either his normal action or his post-attack action. My favorite thing to do is focus to help my attack, shoot, and then boost and barrel roll past my target, taking Turr out of their firing arc. However, he won't be much use hunting higher skill pilots that shoot before him.
Carnor Jax is another Imperial Royal Guard. We learn in Crimson Empire that he can't defeat Kir Kanos in close-combat, but he's certainly a better pilot. Jax works best when close to the enemy, as enemy ships within Range 1 can't perform focus or evade actions or spend focus or evade tokens. This is great for neutering their defense (and offense to a smaller degree) while your other ships go for kills. I prefer to take a Hull Upgrade or Shield Upgrade on Carnor Jax, as he tends to take a lot of punishment flying that close to the enemy.
You may have noticed that I've referenced Baron Soontir Fel a lot in the preceding background descriptions. He's the best Imperial pilot with the possible exception of Darth Vader, and is essentially an Imperial Wedge Antilles. With PS9, he's a great Ace, and his ability gives him a focus token every time he receives a stress. This pairs extremely well with Push the Limit, allowing him 3 actions a turn, up to 2 of which can be focus. If he boosts and barrel rolls, he'll still have a focus to modify his dice. If he needs to be defensive, he can have an evade and 2 focus tokens. I always give Soontir Fel a Stealth Device as his ability to stack tokens can usually keep it operational much longer than any other pilot.