I think this is a really hard question, there are so many characters, how can you choose?
But, as I was reading the Silmarillion, I think my favourite was Turgon; the idea of Gondolin really captured my imagination. Then he went and became obsessed with his city and caused its ruin by not heeding Ulmo's warning, so now I'm not sure...
I've always thought Felagund was awesome, he seemed the kindest of the lords of the Noldor to me.
PS
I almost forgot Tar-Palantir, I think he's pretty awesome (hence the name).
Surely this is the greatest jest in all the history of Gondor: that we should ride with seven thousands, scarce as many as the vanguard of its army in the days of its power, to assail the mountains and the impenetrable gate of the Black Land!