Arya Stark, especially when she stabs a stable boy in the TV series, not sure if it happens in the books.
It happens in the book. In fact, I found that scene to be a lot more effective in the book.
As far as favorite characters...
On the show, Tyrion Lannister hands-down.
In the books it's a toss-up between Tyrion, Arya, and Jon Snow. I'm also a fan of Sir Barristan...and Jaime really grew on me in later books. Also, Reek is interesting. I won't spoil anything about that, though.