In terms of personality, I'd say Seth. I really enjoy serious, "knightly" characters, that put honor and their duty above their feelings and individuality, something that's really well explored in Seth's character, especially in his Support with Eirika.
I also like Marisa, more so because I can relate to some of her Supports (Gerik's, in particular).
In terms of gameplay, I like Wolt and Lilina a lot. Wolt because of his design and because he's always useful in my playthroughs, and Lilina, for pretty much the same reason (in Lilina's case, not only attacking, but also healing, in her promotion, which is extremely useful).