It changes, but right now it would have to be Dalinar, especially after Oathbringer. But even then, I don't really have a "favorite" character because I tend to like them for different reasons. For example, i'm really looking forward to seeing more of Venli in Stormlight 4.
The metallic arts, if that can be considered a single system. If not, I'd say Hemalurgy in particular, because of the possibilities it brings when interacting with the other systems. If the system had to be on it's own, I don't think I could decide between Allomancy and Feruchemy.