Not an easy question, for even the villians are so well sketched (and I don't mean just sketch like in "draw"), you know and understand and in a way get to like them...
But anyway, if you mean favorite as in "I enjoyed the stories involving XXX", my list would be as follows:
First is and should be Usagi

Second is Jotaro, although very much like his father, he is a character of his own, not just a smaller Usagi; I have to say, I was moved very much by "Fathers and Sons"



Then Kitsune, closely followed by Gennosuke; everytime they appear, they add at least a little humour to the story (Remember Usagi, Kitsune and Gen meeting after the Grasscutter arc?
Kitsune asking:"So, what have you been doing since last we met?"
Usagi:" Oh, nothing to speak of."
Gen:"WHAT??" )
I have to admit, if most favorite would mean: "I would like to see more stories involving character XXX", this would be the point where some of the mysterious ones would appear:
Jei, of cource !!!

The Lord of Owls; as far as I know, he just made one short appearance, but Usagi seemed to know him well enough by reputation to be awed...
Sasuké, the demon queller; where does he get his powers from? And how does he know other peoples names and secrets? No, neither Usagi nor Jotaro had themselves introduced when they first met him, but he knew their names plus their family bonds. Hmmmm

But Todd already said it, all characters are equally enjoyable, even the notorious Toady (haven't seen him for a long time; I hope, Usagi hadn't chased him away...
