That's a really difficult question! I like all my characters because I make them all as different from each other as possible. I create a different character for everything; one for the main quest, one for each faction, etc.
I guess I'd have to say overall my favourite is my main quest character, Sporreen the khajiit, purely because he was my first character on the game and so many funny things have happened to me while playing as him. Also, I have to take into account the dynamic duo that is Sporreen and Lydia! (Which usually consists of Sporreen running away while Lydia fights off everything, as well as her constantly following Sporreen over waterfalls, which often ends badly...).
I have two other characters who would be close seconds to Sporreen though. One is a member of the Dark Brotherhood, an imperial called Judas. The other is in the Thieves Guild, and is a High Elf called Alburn. I mainly like them because I love playing stealth-based characters, but I've also found I've grown really attached to the personalities I gave them. I've also had loads of funny moments with these two characters as well (usually involving quests gone wrong, or escape plans not going quite as they were meant to...)
Basically, my favourite characters will always be the ones who grow a personality, and the ones who I have the funniest moments with
