I don't know as I can relate to any one Muppet. There are a lot that I can relate to, it just depends on what it is. I don't think I relate closest to just one, either.
Wembley, maybe. He's not one of my favorite characters, but there are so many times when I see myself in him. When he makes a mistake, when he can't make up his mind... it seems like any time he feels down. In particular, his song "Learn to Love a Wimp".
I'm just a little wimp,
It seems I'm kind of limp.
And how could anyone
Ever have any fun
If she loved a shrimpy little wimp.
But you never have to skrimp
When you learn to love a wimp.
If you don't like his mug,
You can use him for a rug.
If he's sorta badly built,
You can use him for a quilt.
If his color is green,
You can plant him like a bean.
I can truly reccomend
A wimp for a friend!
So that's why you should learn to love a wimp.
... I'm pathetic.