While demons feature prominently in the World of Greyhawk, and certainly have the most detail and variety of the various denizens of the Lower Planes, I’ve personally always felt that devils were far more interesting.
While I’ve never been a fan of the Blood War concept from Planescape, I do in the back of my mind have the idea that in prehistory the major axis of conflict was not good vs. evil, but rather law vs. chaos. So there would be archons, modrons, and devils aligned against slaad, demons, and CG devas, planetars, and solars. Over time, the conflict would have changed, as all sides decided that outcomes (protecting the weak/reinforcing the strong) were more important than means (law and organization/individuality and liberty). This would be in keeping with the battle of Pesh “where Chaos and Law contended.”
To my mind the organization of the devils makes them a much more interesting and dangerous enemy. While demons engage in plotting and scheming, their efforts are usually straightforward, and rely on stabbing one’s allies in the back. The plans and schemes of the devils, on the other hand, can be sublimely intricate, both multi-layered and multi-faceted, with their agents sometimes not even realizing who they are truly working for.
It’s also worth noting that we know that the cult of Asmodeus is active in the Flanaess, and in Greyhawk specifically. Gygax referenced it in one of the Gord the Rogue stories, specifically mentioning that its members bear a tattoo of a red ruby, which is the symbol of Asmodeus himself and his rod. Too, in one of his stories, an imp pretended it was a quasit in order to fool a human seeking to make a bargain. Too late, the human realizes that a quasit could never have made a deal so deviously; it took the cunning of a devil, if even a least devil, to be so legalistic.