Plot to Punctuation (or Show Some Character!, which is the name of this blog on my reader) had a great post yesterday about how to create sympathetic characters. Some of the techniques listed there include creating a character who has a sense of humor and can laugh at him/herself, having them be kind to others, and having other characters admire them for their skills.
There's a section in Orson Scott Card's Writer Digest book Characters and Viewpoint in which he also discusses the traits that make us loathe and love particular characters. I was surprised that there wasn't much overlap between the two lists. Sure, having a good sense of humor might be part of having a good overall attitude, and Card discusses several aspects of the altruistic character. However, Card thinks physical attractiveness and cleverness can also make people love characters. What's interesting about those traits is that they're double-edged swords; for instance, some readers may resent characters who are too good-looking. (Card admits it's much harder to use physical attractiveness in books than in visual media, where you can see the actors/actresses.) As for cleverness, Card is careful to note that characters who come across as too intellectual or too pleased with their own intelligence can turn readers off.
I don't have an all-time favorite character; I'm so busy trying to keep up with my to-read pile that I don't have a chance to reread books. Sometimes when I'm following a series, I find I don't enjoy the later books as much as I did earlier ones. But I do like practical characters who can get things done, such as Alexia from the Soulless books and Mrs. Quent from The Magician and Mrs. Quent. Who are your favorite characters, and why do you like them?
P.S. If you don't already, I recommend following the Plot to Punctuation/Show Some Character! blog I linked to above. There's a lot of great posts there on characterization.