It's difficult for me to think of his characters as favorites, since the most developed characters are the most troubled, besieged, and tormented. I like Hamlet for his many insights and depth of thought -- "...so I have heard and do in part believe." Puck for his disdainful amusement -- "What fools these humans be." Polonius for his taking in so many audiences with his bullshit and nonsense, such that his "To thine own self be true" speech which people quote as serious advice, makes it clear he is one of the great gasbags of literature. I like Lear for his endless misinterpretation of his family relationships, sort of the paradigm of fatherhood's vanity gone sour, unto catastrophe. The best performance of Mercutio I've seen was at a local high school production. The kid had him so cold I wondered about his mental health, the perfect schizophrenic ramble perfectly dramatized. I guess Shakespeare is my favorite character, the mind behind the plays. He often reveals the whole plot in the first scene or two so you pay attention to how the narrative proceeds rather than doting on what happens.