Two favorites and two least favorites: Tyrion Lannister and Arya Stark are my favorites. They're practically indestructible, those two. Given what they've already been through, it's amazing to me that they're still standing - especially Arya, because she is still a child.
My least favorites in the beginning were Cersei and Jaime Lannister. I've softened toward Jaime, however, as the series has gone on. I still despise Cersei. And, Theon Grayjoy is detestable - although, I'm convinced that he's paid his dues and needs to be set free from his torture.
I also had great affection for Ned and Catelyn Stark. I actually wept after the episode that gave us Cat's and Rob's demise. Mostly because Arya has now been present for the deaths of both of her parents and her eldest brother. It breaks my heart.