The best captains are the ones with good assistants. On any team, let alone a team as large as a hockey team you need more than one leader. No one man can change the entire culture of a room. It takes more than that, meaning help from other players, from coaches, from management, from trainers, from ownership, from everyone.
Captains can absolutely set the tone for a team with their work ethic, dedication, attitude, etc. but they also need help to do so. I also think that we aren't nearly involved enough to accurately determine who are the best ones because so much of what they do happens behind the scenes in the lockerroom, in practice, at the hotel, etc.
A few great qualities that I look for in a captain:
Coachability - You need a player who can take getting reamed out by the coach without making it bigger than it is. You need a player willing to take instruction and actively seeking out that instruction because it sets the example for everyone else. If the captain can take, so can you.
Charisma - If you don't believe in charisma you must be living under a rock. Some people are just magnetic and they can be for different reasons but whatever your draw is people tend to want to fall in line behind charming people. That's just the way it is. Without some amount of natural charm it's going to be an uphill climb getting people to believe in your leadership.
Work ethic - We can see the work ethic of players on the ice but we can't see them in practice, in the gym, in their diet, at the hotel, etc. If your leader knows how and when to get down to business then others will fall in line. We can see on the ice that guys will run through a brick wall but there are forms of that in practice and in general life that are as important to preparing to play the games and really you build towards that running through the brick wall by living that way in the other parts of your life.
Understanding of the game: Good captains are going to know how to play the games within the game. They know to allow a little thing to happen once or twice early because people will try it again and they can get them on it. They know how to talk to refs and get favourable calls for their team. They know how to cheat and not get called.
And there are plenty others. Championships are like houses, built one brick at a time. Good leaders set a solid foundation and add as many of the small bricks as they can to give their team a leg up. The rest of the guys have to lay the rest of the bricks.