It's hard to pick a favorite because I find all of them interesting... I could easily tell you which of the characters I really don't like - Kate, Hurley, Ana Lucia - but can't make a distinct choice for the character I like the best.
For one reason or another, I chose Jin.
When he, Michael, and Sawyer were on the raft the bond that they made was really cool. Like, I called them the Three Muskateers in the beginning of Season 2 because they reminded me of brothers... They were deftly loyal to one another and say, if Michael ran into the jungle, Jin was there to back him up... If Sawyer fell because his gun wound was getting the better of him, Michael woud make him a stretcher. It's that kinda **** that I loved to see out these three characters... Lately, though, it's gone to **** seeing as how Sawyer is a big time ******* (Doesn't mean I hate his character, though... I actually respected him all the more when he took control of the guns), Jin is devoted to his wife (As he should be... Especially after Season 1)... And Michael... Well, Michael is trying to save his son and all... He's preoccupied. I don't know the one who has been consistently bad *** has been Jin. Like, on the most recent episode all he did was give Hurley a thumbs up and I thought that was so great... I don't know, Jin's my boy.
Next in line is probably Locke and Eko. Next to the three muskateers, that is. Jack kind of gets on my nerves only because he and Locke squabble way too much. It was cool at the end of Season 1, now it's annoying.