I can easily say Midna was my absolute favorite sidekick of any Zelda game.
Honestly, I was hoping for Fi to take that place. With the amount of emotion visible at times in Skyward Sword, I was really hoping for a strong, visible bond between Link and Fi. I didn't really get that vibe. The ending seemed to be the only time any emotion was even shown by Link towards Fi, and still, it was in a seemingly forced way.
Midna really gave me everything I crave in a sidekick. She starts out as bossy and hilariously-witty. As the story progresses, you see more and more of who she really is, and I really feel a strong bond get built as the story goes on. Of course, the ending just made me feel things I didn't know video games could do! I felt Link would truly miss Midna, and that it really pained her to go through that mirror for the last time.
Midna brought laughter, tears, and excitement to me as I traveled through Hyrule with her, learning more and more about this secret princess as time went on. On another note; when Midna was revealed as the Twilight Princess, I have to say, I think that was one of the first and only times a video game literally shocked me to wear my mouth dropped. I had no idea, and just loved it.
Ah, still waiting for another sidekick like that, Nintendo . . .