Sherlock Holmes. The character has captivated me since I was a ten-year-old. His eccentricities, his intellect, the way he's devoted every ounce of his energy to his chosen profession all make him a fascinating character. Also, the balance Conan Doyle created between the genius main character and his narrator, Watson, who is not a stupid man by any means, despite what some movies show, was a brilliant way of pulling the reader into the stories without trying to describe exactly what was going on in Holmes' mind all the time. Holmes' world was the first fictional setting that really made me feel like I had been completely transported to another time and place. Twenty-five years later, he's still my favorite character whether I'm going back to reread the original stories or watching one of the many movies or TV versions (many of which are very good) or working on the character myself which I've been lucky to have been asked to do more than once.
It's funny. If I'd been asked to choose, say, five favorite characters, I'd have a hard time narrowing such a list down, but to just pick one was easy. The top spot belongs to Holmes without a doubt.