I don't think I have a single favorite. I like a varity of characters for different reasons. These stand out to me right now.
Desmond, he seems to be an all around good guy or at least trying really hard.
Hurley, He seems undervalued, but is a great character.
Sawyer, funny nick names and great quotes. I quoted a couple from this season.
Daniel, I like the scientific nerdy character. He's trying to sort out a puzzle that goes beyond his mind...
Locke, trying to find his purpose. He's on a mission. Though he does creep me out a little in some scenes...
Sahid: I believe his heart is in the right spot, even though he's gone through and done terrible things...
LOCKE: You just make friends everywhere you go, don't ya?
BEN: Well, I've found sometimes that friends can be significantly more dangerous than enemies, John.