I completely agree, and must re-quote this for it's awesome truth. I thought picking my fav Sanderson character would be hard, until I remembered the Chasemfiend hunt scene. When Dalinar caught the Chasemfiend's claw to save his nephew, I actually jumped out of my seat involuntarily and pumped a fist in celebration.
Dalinar is badass-ery incarnate, and the best part is that he's humble and confident about that fact at the same time. I could gush on and on, but I really think the 'shopped Dos Equis pic says it all.
Second fav, however, is a hard pick. Sanderson has done a good job at making characters at once endearing and yet flawed enough to keep them from being 100% bubbly and likable. Except for Syl. She's just 100% cute.
I sort of have my favs from each book, but I suppose if I had to pick just ONE character to have by my side as rust goes down, it would be Sazed, pre-Harmony. Says a lot that he doesn't even need to be in god-form yet for me to pick him as my fav. His flaws become his redemption in a gradual un-forced way, and when he finally became Harmony, it felt right.
Close (and I mean CLOSE) third, is Ten-Soon. Nothing chilled me more than when he told the Firsts how blind they were being, and the Seconds what idiots they were. When he pulled his Blessings free, I was proud of his certainty and marveled at his strength. Nothing like being taught the lesson of humanity by what was essentially a pile of primordial goo.