Alright I have limited myself to 6 characters or otherwise I would have voted for half of them.
Kanade - I think it is obviouse, she probably was the most interesting character for me. The way she was changing over the series was entertaining and her fighting skills are beyond aweasome. She simply wn.
Iwasawa - I can't really explain why... she just caught my attention despite appearing only in first 3 episodes. The way she dissapeared also was probably the most saddest for me.
Yuri - a really good balanced character who isn't over powered yet strong. Who is smart, a good leader and is able to feel sorry and apologize for her wrong actions.
TK - each time he opened his mouth, I loled. His phrase with "eyes" was my favorite when he was fighting shadows. Such a pity that he was treated as no one in the series.
Shiina - another un-appricated character by anime creators. She has strengh and sometimes her actions are really funny and I was so curiouse to see her past
Yusa - for tripping the guy at the stage.