Always hated Wolverine, so I stayed away from Origins (didn't miss out, if Bob Chipman is to be believed). In the cartoon, Gambit looked and acted like a complete idiot, and his (on paper) spectacular power of kinetic force always managed to disappoint.
I always liked Nightcrawler (and Azazel in First Class), but my all-time favorite for ever is definitely Magneto. His powers are spectacular, but have believable limitations (unlike Storm, whose power is totally overpowered, so they hardly ever use her, and when they do, her attack somehow manages to be unspectacular, despite the premise). Prof. X is awesome too; Mind Control, 'nuff said.
Jean grey has a weird, untrained cross between Prof. X and Magneto, she's a telepath, and can do telekinesis, which is cool, but her character sucks (although I have yet to read Dark Phoenix, which is apparently the best X-Men arc), and she has her awful boyfriend Cyclops. His power is good for killing dudes, but since they can't bring themselves to show gore, all it does is push people over.
Also: That guy who is a rocket. Cool. (saw him briefly in the cartoon)
PS: My frame of reference is the cartoon, the movies sans 'Origins', and a little tiny bit of the comics.
TL;DnR:
Favorite:
Magneto
Cool:
Prof. X
Nightcrawler (Azazel)
Jean Grey (tentative)
That one rocket dude (his name may be Rocket, which would be humiliating)
Crap:
Wolverine
Gambit
Storm
Cyclops
Cyclops
Cyclops
Cyclops
Cyclops
Cyclops