Definitely Locke, as well. Everybody on the island would be screwed without him, not too mention he's been through far more in his life than any other character on the show. He was my favourite from Season 2 until the very last episode.
I think the real question is who isn't my favorite character, haha. :P
I think my favorite would definitely have to be Locke for his "God Complex" and how he can communicate with the island, though my favorite tends to change while i'm watching the show and something awesome happens.
Whose your favorite character?