SPOILER WARNING.
In the first season my favorite was Locke. But then he went nuts.
New characters were introduced in Season Two. My favorite was Eko. But then he died.
Alright, Sayid was bumped up to first place. But then he turns into Benry's bitch even after swearing, "the day I trust him is the day I sell my soul." So until they show a darn good reason for Sayid's change of heart, Sayid's off my list of favorites. Besides, I can't see him as a bad-ass soldier anymore after watching Naveen Andrews' M.C. Hammer performance in the movie Bride and Prejudice (it starts about a minute into the clip):
Click to view
So now my new favorite is Daniel Faraday. He seems to know more than anyone else on the island, aside from Benry of course. But knowing the Lost writers, they will find a way to ruin this character for me too.
Seriously, Lost is the best show ever, the suckiness of the first few Season 3 episodes aside.