I think this game had the most creative, and best characters in the whole franchise.
Ghirahim is hilarious, i've began to wonder if he has a little bit of bipolar disorder.. He's definately an interesting fellow.
Zelda has a personality for once! I think she's adorable in this game, and she's so loving and calm.
Beedle cracks me up. I love how he's secretly irish, or something. Also, when you don't buy anything and he kicks you out of his shop is funny too.
Groose is also funny, he seems so cocky & obnoxious, until you realize how he really feels, and see his inner personality. Also, his groosenator is cool to.
Link is so strong, and brave. One thing i loved about his personality in SS is you can actually see & feel his emotion. He dosen't seem have as hard of an exterior as the other games.
To answer your question, my favorites are Zelda, Link, and Ghirahim. However, if i could only have one, it would be Link. It will always be Link.