In no particular order:
Sir Samuel Vimes
John Clark (aka John Kelly, Tom Clancy's character)
Dinah (The Red Tent)
Elizabeth Bennett (Pride & Prejudice)
Tess Durbeyfield (Tess of the D'Ubervilles)
Luna Lovegood (Harry Potter Series)
Eliza Makepiece (The Forgotten Garden)
Owen Meany (A Prayer for Owen Meany)
Claire Frasier (Gabaldon's Outlander series)
Elizabeth Bennett (Pride and Prejudice)
Miles Vorkosigan (Lois McMaster Bujold's series)
Mercy Thompson (Patricia Brigg's series)
As mentioned before, there are so many going through my mind. However, I will list those that have stuck with me the last two or three years:
Rossamünd Bookchild - The Foundling Book 1, Lamplighter Book 2 and Factotum Book 3, which have all recently been renamed Monsterblood Tattoo series 1-3 by D. M. Cornish.
Sam - Lord of the Rings by J.R.R. Tolkien
Maerad - The Naming: The First Book of Pellinor as well as the rest of the Pellinor Series by Alison Croggon.
Amelia Peabody - Crocodile on the Sandbank by Elizabeth Peters.
Last but not least;
Wick, the book's small sized dweller hero - The Rover by Mel Odom.
Myron Bolitar, of the Harlan Coben series
Atticus, To Kill a Mockingbird
Rhett Butler, Gone With the Wind
Karen Vail, of 7th Victim,Crush and Velocity
John Reacher series
Jackson Brodie series
Stephanie Plum mysteries
Meg Langslow mysteries
Hallie Palmer of Beginners Luck series
Eve Dallas, Roake, Peabody and McNab (JD Robbs' in death series)
Grandma Mazur & Lula (Janet Evanovich's Stephanie Plum series)
Alex Cross (James Patterson)
Brandon Birmingham (Kathleen Woodiwiss)
Sam Starrett (Suzanne Brockman troubleshooter series)
I could go on but there are way too many.
In no significant order:
and many others.
Oh, yeah. Add Atticus Finch to my list as well.
Dagny Taggart (Atlas Shrugged by Ayn Rand)
Lisbeth Salander (The Girl . . . trilogy by Stieg Larson)
Aliena (Pillars of the Earth by Ken Follet)
Hans Hubermann (The Book Thief by Markcus Zuszack)
just to name a few . . .
Ramona Quimby from the self-titled series
Sara Crewe from A Little Princess
Jo March from Little Women et al...
Anastasia Krupnik from the self-titled series
Amelia Bedelia from the self-titled series
And I just realized as I was making this list (I too favorite very, very seriously - probably more than OP intended) how my childhood love of reading has shaped my life. I love a lot of the books I've read as an adult. I love some of those characters - but the ones I identify with enough to call favorites are all from my pre-adolescent / adolescent reading.
Marcel- In Search of Lost Time by Proust.
Sancho Panza - Don Quixote by Cervantes
Gandalf- Lord of the Rings by J. R. R. Tolkien
Hagrid- Harry Potter series J. K. Rowling
Dr. Wilbur Daffodil-11 Swain- Slapstick by Kurt Vonnegut
Billy Pilgrim- Slaughterhouse Five by Kurt Vonnegut
So it goes. I could go on and on. Huck Finn, Tarzan, Harry Selden.... Help! I can't stop.
Sara Crewe! Thank you for mentioning! This is my favorite book of all time. Little Princess (Frances Hodgsen Burnett)
Emily (Emily of New Moon series)
Petra (Ender's Game)
Jay Gatsby (The Great Gatsby)
Just a couple off the top!
Lucas Davenport from John Sanford’s Prey series.
In no particular order
Eve Dallas and Roarke (ok maybe Roarke would be my favorite)
Ranger (Stephanie Plum Series)
Acheron (Dark Hunter Series)