Thanks for the warm welcome!
Tough questions, depending if by favourite you mean most intriguing and most pleasurable reading experience.
Short answer:
Favourite: Kaladin. Due to the fact that Way of kings was my first meeting with Sandersons cosmere and mr.Stormblessed made such an impression.
Of course, honorable mentions is all of the goofy yet wise sidekicks and what not! Such as Lightsong the brave, Hoid, Lift and Wayne.
Least favourite: Kenton, from White Sand. Of all other characters in the cosmere i find him among the least intriguing.
One thing I really enjoy with most of the characters throughout the cosmere is the interactions with one another and not the character per se as in persona, goals, attitude etc. Find it amusing when the grumpy 'scowling' supporting characters is mentioned in relation to crews or bridge teams.