My favorites:
Tyrion Lannister
Daenerys Targaryen
Khal Drogo
Arya Stark
Jon Snow
Syrio Forel
and...
I gotta admit, I do actually like The Hound, Sandor Clegane. His brother, The Mountain that Rides, Ser Gregor, is a douche, but Sandor's actually a pretty cool dude. Even if he is under command of that little c**t Joffrey. Hoping that maybe dear Tyrion will pimphand him again. (Of course, I've only read the first book and watched the first season after that, so I'm waiting until I've read the second book to watch the second season)