Well, I haven't reached the part when Jane, Jake, Dirk, and Roxy appear, but thus far my favorite chracter...
Um... I guess it's a tie between Jade, Aradia and Vriska.
Jade because , well, she's Jade.
Aradia because she beated the crap out of Vriska :D
And Vriska because... well, Vriska killed several characters, that makes her awesome by default :´P