My all time favorite character is Serena. Totally. I never thought I would like her, but as I played the Dawnguard questline, I felt closer to the character. And, if you ask the right questions, I'm sure you'll feel the same way.
My second is probably Karliah. With her vibrant eyes and cockney accent, she makes for a great companion. Also, she's just awesome. There is literally no way to describe her awesomeness.
My third is Ysolda. She's got that strong and independant air about her, while she also makes for a great marriageable canidate and amazing housewife.
My fourth is Vilkas. He may seem cold and distant at first, but he'll always come through in the end. And when you marry him, his dialogue and voice tone change so much.
My fifth, and final, is Maliza. She's actually a character from a mod, but she's amazing. I don't care if she only has follower dialogue, she's pretty friggin' awesome.