Mmmm, I guess my favorite episode is the one with that tiny guy and the giant with the arm. Vash is awesome in that episode, though I still don't get how he had time to draw graffiti on the giant's arm in the three seconds before he retracted it.
I'd have to go with Millie. She has that off-putting high voice and she's so polite, but she carries around a huge chaingun like it's nothing! My favorite scene is the one with the bar, where the strap breaks and the gun smashes that one guy's foot, and she just picks the whole thing up with one arm with no effort at all! And everyone's like @_@ XD