Uhhh, all of them are worthwhile of course!
but seriously
my favorites are Kermit (regular), Gonzo and Camilla, Dr. Teeth, Swedish Kitchen playset, Johnny Fiama, Rizzo, Sam the Eagle from Muppet Treasure Island and Scooter.
I gotta wish you good luck in your figure hunting. I was unfortunate that I started too late and missed Bunsen, the Electric Mayhem stage w/ Animal, Floyd, and Zoot. Fortunately I was able to get Scooter, Rowlf, Crazy Harry, and Lew Zealand from amazon.com. My story is that I saw the Muppet figures when they first came out and I was like "Hey, those are really cool, but I don't wanna get involved w/ another collection" but I picked up Gonzo 'cause he's my favorite character. Then when series 4 came out I saw Sam and, MTI being my favorite Muppet movie, I got it. Then I was like "Ok, I gotta have all these!" and got as many as I could find from the older series. Now I'm only missing Bunsen, the Electric Mayhem stage w/ Animal, Floyd, Zoot, and the Pigs in Space characters (if I find them cheap I'll get them, but I'm not really interested in them).