Jaime, probably because of the incredible amount of character growth he undergoes. That last chapter with him in book 4 where he cleans up the shitshow of the siege was just great, and really showed you how far he had come.
Tyrion is also cool. His character design basically spits in the face of all the tall, badass, ruggedly handsome, perfect-at-everything main characters that tend to plague the fantasy genre. I feel like Samwell also does this well, though his, "I'm a coward," schtick is getting kinda old.
Least favourite... Cersei, for one. Seriously, can we just kill this ***** and get on with our lives? I also found Bran's story to be horribly boring. I've completely lost track of exactly why he's doing what he's doing, and I don't see how it's going to relate to anything else in the rest of the plot.