My current faves:
- Tyrion (of course!)
- Jaime (has gotten more and more interesting)
- The Hound (reprehensible, yes. But always fascinating)

What makes Martin's books so enjoyable is that your short-list of favorite characters changes as the series progresses.

Least favorite? Probably Cersei or Sansa. Though Sansa is getting more and more compelling through her association with Littlefinger.