I can't think of an absolute top-favorite right now who isn't Judge Dredd but Judge Dredd is mostly awesome as a character because of the contrast in his personality to the world around him. There's also Rorscach and V, but I can't choose between the two and honestly, all the characters Alan Moore puts any work into are pretty fucking awesome.
I can outright tell you my favorite TF2 character, however. I mean, there's really no contest since he's by far more awesome than all of them. As badass and endearing as the Heavy and Pyro are, as classy and hilarious as the Spy is, as skilled and awesome as the Sniper is, as genius as the Medic is, and as... uhh... Scottish.... as the demoman is, you literally, (and figuratively) CANNOT argue with the reincarnation of George motherfucking Patton himself. It cannot be done. It's also fun to yell and rant in your best Soldier voice on roleplay maps.