Ulfric Stormcloak, and not just because his voice makes me feel funny in my pants. In fact, I didn't care for him one way or another when I first started playing Skyrim, but once I started really talking to him, and to other people about him, and reading between the lines of what everyone said, I saw what a well-developed character he was, and I fell in love with him. He has, arguably, the most backstory of any NPC in the game: studying the Voice with the Greybeards, leaving to fight in the Great War, being captured and tortured by the Thalmor, losing his father and finding himself on the throne of Eastmarch, heading the Markarth Incident, beginning the rebellion, killing King Torygg. But what truly makes him my favorite character is that he's so ambiguous; his intentions might be good, but they could also be selfish, and there's no solid answer to the mystery. In my opinion, the best characters are those who are not black or white, but many shades of gray. I also love how much the character has made me think, and consider, and analyze. For instance, many other characters in the game claim (or at least insinuate) that Ulfric is racist and intolerant, and it's easy to buy into it when you see the living conditions the Dunmer have in the Grey Quarter or the Argonians have on the docks. Yet the fact remains that he gives shelter and work to both Dunmer and Argonian refugees from other provinces, when he could just ban them altogether from his hold... and he allows several Altmer, the race he has most reason to be prejudiced against, to own homes and hold prominent positions in Windhelm. Considering that, you have to ask yourself if he truly is the racist and intolerant man that he's made out to be.
I immediately fell in love with Gelebor, the Snow Elf. Upon meeting him, he looked so ethereal and mystical and other-worldly and beautiful, and it captivated me. And then you discover he's been secreted away in that cave - alone - guarding the Chantry for millenia against the corrupted beasts that his race had become, and that is utterly heartbreaking. And I have a very soft spot for heartbreaking characters.
And, of course, Neloth, who is without a doubt the most hilarious and entertaining character in the game. I just freaking love that pretentious jerk. "Where's that lazy steward of mine? VARONA! --oh, no, she's dead. DROVAS!" Such a riot.