I’m also really keen on the eldest princess in A.S. Byatt’s short story “The Story of the Eldest Princess” [available in The Djinn in the Nightingale’s Eye] because she’s smart and assertive and reflective. She realizes she’s in a skewed fairy tale and forms her own happy ending, which does not involve happy hetero marriage.
In TV or movies, my favorite characters are Jareth the Goblin King from Labyrinth [details at Jareth’s Realm], Frank from The Rocky Horror Picture Show [details at The Frankenstein Place], Spike from Buffy the Vampire Slayer [details all over this blog] and Dean Winchester from Supernatural [details all over this blog].
In fiction that I have created, my favorite characters are Will and Anneka because they have pink hair and no fashion sense. I also really like Mark because he’s such a dweeb, Chow because he’s probably the only wise character around and Viktor because his constant attempts to screw anything that moves are amusing.
In any medium, I dislike whiny characters who do not stand up for themselves. Three particularly egregious examples are Sarah from Labyrinth, Harry Potter from the seven books concerning him and Bella from the Twilight Saga. Make that EVERYONE in the Twilight Saga.
EDIT: BWAH HAHAHAH. I notice that Edward Cullen, abusive personality extraordinaire of the Twilight Saga, appears most frequently as a favorite character, clearly nominated by people without critical intelligence.