There are so many characters that are so awesome, I can't list them all. So if I had to pick one from each game I'd say are "favorites" I'd have to say:
Lyn. She is my favorite Fire Emblem character of all time. She always turns out to be a great unit for me. And I like her personality, I like how she has the nobility of other main characters, but also basically says "screw you" to the enemies.
Ephraim. He is way up there in competition with Lyn. I like how tactical he is, and he's a great unit. I also like that he uses lances instead of swords.
Brom. I like his simple personality. I also like how his appearance is different than the majority of other characters. And I think Brom is really underrated as a unit, he always turns out to be an awesome unit for me. In my most recent playthrough of Radiant Dawn, he was my MVP.
Marth. Honestly, he's the only one who gets enough characterization in his game for me to like or dislike him. And even then, I like him as a unit, and I like his personality.
Stahl. I don't know why, but I like how average his personality is compared to everyone else. He's just a normal, everyday guy. And as a unit, he's one of my best in Awakening.
I have never played any of the Japan-only games, but from the research I've done I'd have to say I really like Sigurd, Leif, and Roy as well.