My upmost favorite is Red, because even though her opinions would sometimes have her looking foolish, she was always never one to let others' somewhat hesistant views get her down. Plus, her sensitive side that was sometimes shown was just simply adorable.
Her song of showing fear in The Garden Plot would always make me feel like wanting to hug her (fictional or not, I would always consider a creation different than the person doing the character [unless it were Walt for Mickey & Jim for Kermit]), for every being--whether it be human, Fraggle, Doozer, or Gorg--knows some semblance of fear and no one ought to be scared to let emotions show when they're needed.
My second favorite would be a tie between Wembley and Junior, because both are funny. Wembley's constant bonking into the local pipes were enjoyable for small chuckles and Junior may not have been the sharpest knife in the drawer, but it was his "witless-wonder dunder-blunder dummy" attitude that made him hilariously loveable.