I really love all characters so making a list of my favorites is really hard for me. But I'll try:
1. Armin: one of the best cases of character development I've read. Goes from the almost stereotypical nerdy wimp to a rather pragmatic strategist, whose advise is heard even among the high ranks of the military.
2. Erwin: Ruthless and pragmatic, yet has a human heart. For all his talk of sacrifice and doing his duty to humanity, he is deep down only human. And he doesn't view that as a weakness. Also he has the biggest nerves of steel I've ever seen.
3. Jean: just like with Armin, he is a really great case of character development. He also has one of the most realistic characterizations I've seen.
4. Mikasa: and not because she's just badass. She is not only an example of a strong woman, but she is an example of a strong woman done right, and those are rare. Yes, she is strong, skilled, stoic, confident etc, etc, but she's also egoistical, which adds to her humanization. She also has some really small moments where she drops her stoic persona (moments that have nothing to do with Eren or Armin, mind you), like when she saluted that little girl after she saved her during the Battle of Trost, or when she failed to kill Reiner and Bertl because of the times she spent with them during the military training.
5. Keith: At a first glance he is the stereotypical drill sergeant, a hard, ruthless trainer who occasionally shows a more empathetic side. However the fact that he knows Grisha, and his appearance in Grisha's memories when Eren saw them makes him a very mysterious character. And I like that. He is most likely a Chekhov's Gunman, mark my words.