Fire is best because it helps in the ToEF. Acid is probably second-best, because most of the items that give multiple resistances (elemental gauntlets, high kings, bracers of resistance) don't give acid resist, so PCs will occasionally have one or no resistance at all in the endgame, which can be dangerous. Cold is probably the worst crowning immunity, because the AMW is always available. If you're going for the dragon caves, I guess you might want shock, but normally you'll want to wear artifact gear there anyway, and should be able to piece together 3-4 shock resistances which would be more than sufficient.
In all honestly, immunities are ridiculously overrated, IMHO. This sounds like a very, very, tedious exercise you're about to undertake for not much gain. Bugwil or Darkforge would probably have sufficient DL for your purposes if you want to try it. Getting all four immunities is completely unnecessary though.
Hoping to win with every class, doomed. Archer, Barbarian, Bard, Beastfighter, Druid, Elementalist, Farmer, Fighter, Monk, and ULE Priest down.