Midna. Her part was done well. When the game started I was certain I was going to hate her, but she grows on you throughout the game. The part where she's injured and you have to get help, with no means to travel except as the wolf through the giant field, was very well done.
Midna actually feels like she has a personality, so I'd say she's my favorite, even if sometimes I get really angry at her when she just laughs at me while I can't see what she's trying to show me. razz I haven't played the portable games or Skyward Sword, though, so my choice is pretty limited.