I love these questions ...
Ah, jeez, I'm torn between so many characters; I love so many of them!
My most favorite character of all-time would have to be Bellatrix Lestrange. I love her determination to spread evil, her loyalty to the Dark Lord never wavering, her psychotic characteristics of finding that torturing people is funny, and her utter craziness. Her obsession with Voldemort, and her desperate need of attention from him; she's such a fascinating character to read! And, not to mention, Helena Bonham-Carter portrays her excellently! :)
I also love Bill Weasley, for some unknown reason. He has always been a favorite character of mine, being such a good brother, not to mention fairly sexy (what with his fanged earring and long hair, etc) and I'm a huge fan of all the Weasleys, so y'know ... :D I guess Fred and George would be next (what is one without the other?), so they're equally awesome. Active members of the Order, fighting against evil, and their typical pranksters personality is so funny! *laughs*
And then, of course ... Luna Lovegood for being so individual, not caring about what others think of her ... Neville Longbottom, for being so eager to get vengeance from his parents ... Sirius Black, for dying in a battle, fighting against that lunatic cousin of his ... Aberforth Dumbledore, for living in his genius of a brother's shadow for his life and not cracking ... Severus Snape, for being the bravest man I ever knew ... Nearly Headless Nick, for being so loyal to Harry even though he's dead ... Peeves the Poltergeist, for giving Umbridge hell in 'Harry Potter and the Order of the Phoenix' ... Dean Thomas, for being so incredibly handsome and charming ... Kingsley Shacklebolt, for being the sexiest Minister for Magic there ever was (not to mention, a GOOD minister!) ... Molly Weasley, for being the best mom in the world to her children and Harry ... Crookshanks, for being the smartest cat in the world ... mmhm ...
Yeah, that's about it. :)