Probably my favorite character is Kate, mainly because she's so smokin' hot. For a dangerous fugitive on the lam, she does a lot of dumb, helpless-girl kind of stuff, like constantly getting captured and forced to wear skimpy dresses (not that I'm complaining or anything - yowza!). But I can forgive that stuff, on account of her hotness.
My next favorite character, and probably the favorite if you only take character into consideration, is Desmond. He's pretty cool. He has this stranded, tragic-figure kind of air around him, which I can identify with. Also, he got to chill in that cool Hatch pad for a long time. I wish my apartment was like the Hatch. I'm working on it ...
I also like Miles. I like his attitude.
Least favorite character: probably Charlie. I actually cracked a bottle of champagne when he bought the farm. (And props to Desmond for predicting that, over and over again ...) It's a travesty that Charlie was a rock star, and yet few people have ever heard of Inflatable Bitch. I've also heard that in real life he dated Evangeline Lilly (the woman who played Kate), which angers me.
And finally, a special shout-out to Desmond's love, Penny. You're hot too, baby! Don't think I forgot about ya! But I have to show a certain degree of decorum, because your husband is probably my favorite non-Kate character.