My story is still at its roots, so some of my favorite characters haven't even been introduced yet.
Out of the characters presently revealed in my novel, I'd have to go with Setsuya, the guildmaster of Synoria's Snow Guild. I think part of my fondness for him comes from the fact that he was originally more of a throwaway side character that was only added for the sake of complementing the main heroine of the first saga. Over time, I took more interest in developing his background, abilities, and motives until he became a deeper character that I actually really liked.
In some sense, that process of building up his character over time as I wrote the story gave me a deeper personal connection to who he is as a character.