Benjamin Sisko: He's everything a commanding officer should be. If I were under his command, I would follow him straight into hell itself.
Data: It's a common theme of artificial persons in all sorts of literature and media to spend more time contemplating what it means to be human than humans do. I was quite happy to discover that Data followed that theme. Some of my favorite TNG episodes are the ones featuring Data and the prejudice he experiences (especially Measure of a Man).
Spock: I've always been a fan of Spock. When I was a kid, my family used to call me Mr. Spock, mostly for my habit of correcting their approximates with more precise values, exactly like Spock always did. I also went through a phase of suppressing all my emotions, but I fortunately grew out of that.
Dax: I like both Jadzia and Ezri. I've always been a fan of immortal or long-lived characters whose pasts come back to haunt them in one way or another (ala Forever Knight or Highlander), and Dax certainly fits that bill. I also very much liked watching Ezri "grow up", so to speak, as she gradually got used to her condition and took advantage of her past lives' knowledge and experience.
I can't decide who my fifth character is, so I'm going to go with six.
Elim Garak: I've always found Garak fascinating. Both the writers and Andrew Robinson did a fantastic job of making sure you never forgot that Garak wasn't human. Oh, sure, he looks alien, but all too often the writers created characters who were 100% human except for their make-up. Fortunately, Garak wasn't one of them. I loved his ability to tell the truth in such a fashion that nobody ever believed him.
Worf: I always thought Worf was a great character, but I never considered him a favorite until after he transferred to DS9. Once there, he came into his own, and really clicked for me. I think I just have a soft spot for outsiders trying to fit in without losing their sense of self.