Pff, way too many awesome characters out there to name but one. Some favourites include:
Chidori from FMP. As per the description in TSR from a certain character, she's full of opposites: fragile yet ferocious, crude yet refined. Oh, and she looks good in the rain
Tessa also from FMP. She's a lovely character, and looks hawt in that uniform.
Sagara Sousuke again from FMP. He's one of the best male leads ever IMHO. That stoic stupidity while at the same time being so incredibly intelligent and clever in other ways is a nice contrast. Oh, and his straightfaced performance all the way through Fumoffu is great, I haven't laughed so much in a long time.
Haruhi, Kyon and the rest of the cast from the melancholy of suzumiya haruhi. They all rock, it's that simple. Some of the nicest characters in a series I've seen so far.