Natsu because he can be very badass when he gets serious. He reminds me a lot of Luffy from One Piece - you know that when there is an annoying villain it's only a matter of time before Natsu will kick his ass.
Gray because he is a cool character with his calm attitude and weird quirks. His magic is also the coolest of the main characters. Too bad he often gets defeated by even minor villains of the arc. I would like to see him defeat the villain of an arc for once - like someone stronger than Lyon.
Juvia is great and sexy and I like her relationship with Gray. I really like how she is not one of those unnecessary violent female types, which are so prevalent in anime.
Laxus is really badass and I really like those jerk-with-a-heart-of-gold characters. I hope he returns soon to kick some major ass.
Mistgun is pretty cool and mysterious,
Gajeel - same as Laxus, really badass and a jerk with a heart of gold. The problem is that similarly to Gray he is also mostly used as support for Natsu and hasn't been able to defeat a major villain so far. I hope that changes in the future.
Whew...that was a lot of characters. This series has a great cast, which makes it hard to narrow it down to just a few favorites.