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I personally picked Sayaka as my favorite.
Why? Because to me, she is the most fascinating and thematically rich character in the show. Think about it. She pretty much meets all the requirements for the typical MG hero. Selfless? Check. Does stuff for the boy she loves? Check. A strong feeling of self righteousness and morality? Double check. Heck, even her appearance harkens to the image of a caped knight or crusader. She's essentially everything that makes a superhero.
Her personality also plays a part in this. Like I said, she sacrifices her wish for the man she loves, while saying that she needs nothing in return. She refuses help from anyone else, including taking Grief Seeds from others, as she views that as "amoral", and only wants to rely on herself. Basically, she wants to shoulder other people's troubles. Overall, she believes that acting as heroic as you can, taking everything on your shoulders alone, and not relenting makes one a hero, and she desperately tries to live up to that ideal.
However, the show (and Gen Urobuchi) slowly but surely reveal that this is not the case. Simply being well-intentioned and fighting as hard as you can will not turn you into a hero, nor will it necessarily lead to a good outcome. Selfishness is a part of human nature, and no matter how hard we try, we will never be able to truly divorce ourselves from it, as humanity is a flawed species indeed. Not to mention that her ideals of heroism are very much black and white, when the show goes to great lengths to show that there are shades of grey to most actions and people, and holding yourself up to some sort of pure ideal will fail.
So in a sense, Sayaka Miki's whole character arc is that of a Tragic Hero, as well as a Deconstruction of the traditional notions of heroism (which Urobuchi loves to explore and tear apart). Her fatal flaw is argued by some as being her selflessness and love for Kyousuke, but I would argue that it is something else. Rather, I see her main fatal flaw as being her inability to reconcile her ideals of heroism and her self-image of being one with the reality of that she is anything but the hero she sees herself as. Why else do you think she breaks into moments of insanity (like the fight against Elsa Maria) and grows increasingly desperate to prove that she is unlike the ones she sees as "amoral" and that she is still in the right. Her final words just before her transformation in Oktavia von Seckendorf are her realization of this.
To make a long story short, Sayaka is basically the female Magical Girl version of Capt. Martin Walker from Spec Ops: The Line. And that's why I feel she is the most fascinating character int he entire series, and even one of the most interesting ones I've ever encountered in fiction (which I also present to critics who say that Madoka's characters are shallow).
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Kaname Madoka
Akemi Homura
Miki Sayaka
Tomoe Mami
Sakura Kyoko
Kyubei
Shizuki Hitomi
Kamijou Kyousuke
Kaname Junko
Kaname Tomohisa
Kaname Tatsuya
Saotome Kazuko
Other
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