Choosing the best character would be hard, but as for my favorite, it has to be Kaladin. Such a great character, I would place him in my top five favorite characters of all time, along with fellows like Raistlin Majere and Drizzt Do'Urden.
First of all, he is that stoic type of character that I have always enjoyed. Also, I like him because no matter how much he has been put down, kicked around, and just generally had life crapping all over him, he has not lost that intense desire to protect the people that he cares for. He came close a time or two, but he always forced himself on. And when he finally pulls through his crucial moment in Words of Radiance, it was truly epic.
I would have to say Szeth is a favorite of mine as well. Such a tragic character, I have always been a sucker for those types as well. Such pain that man has to go through, and yet such dedication shown to his code, I have to admire that.
Jasnah and Shallan are both great characters as well. Am still hoping somehow for a Kaladin/Shallan pairing.