Hewo Guy!
No, seriously, I've always enjoyed watching Grover. The character I most identify with, however, has got to be Bert (though on occasion I do have a little bit of Ernie in me, and sometimes even some of Telly).
Among the newer (anything from Kevin Clash's Elmo on) characters, my favorites are Zoe and Rosita.
Among the human characters, the Messrs. Noodle are always fun to watch.