Traditional grammar doesn't really have a category that "please" would fit into very adequately. So like various other words, it tends to get dumped into "adverb" or "exclamation" that tend to be used as "dustbin" categories for words that don't really fit anywhere (cf "yes", "viz"...). But there's really little rationale in lumping the word "please" with, say, the word "carefully".
I would suggest using a framework that allows a broader set of categories, or which at least admits as additional categories words like this that are essentially "isolates" that don't readily fit into one of the regular productive categories.
The British National Corpus tagset, for example, has a category ITJ for "Interjection or other isolate" (which is also a bit of a dustbin, but more satisfactory than lumping any old word into "adverb"-- at least it's effectively admitting "category for words that basically don't belong anywhere").
You might also want to consider having categories for words that effectively 'stand in for' whole clauses or phrases. So, e.g. just as you might analyse "soon" as effectively a prepositional phrase (i.e. you see it as effectively a placeholder for e.g. "in a moment", "in a few minutes", "within two days"), you might analyse please as, say, a verb-phrase placeholder.
Or, put another way: there's no single "right" answer and it depends on your analysis. But if you call it an "adverb" as many dictionaries do, you may want to try and be clear with yourself what similarity you think 'please' actually has with more canonical examples of "adverbs" and how well it really fits.
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