Ben Linus! He is so twisted, diabolical, creepy, and he always is cooking up some sort of scheme. I'd love to just get into that character's brain for like 5 minutes and explore. I doubt I'd come out alive. Michael Emerson nails this role every episode!
Close second is Desmond. I'm a sucker for the Scottish accent, brotha!
Charlie was definitley my favourite character. After he died though my favourrite character became Desmond. I was so glad that the script writers decided to be nice to him and let him survive through the entire series.