I honestly can't even name just three. There are too many too chose from, and it is a buffet of greatness, after all... but condensing it to three...
Grover- There are just so many levels to the kind of skits he does... on the one hand, he is always eager to please everyone, to the point he displeases them greatly... sometimes you get him serving the wrong dish to Mr. Johnson, causing Johnson to faint... and sometimes, Mr. Johnson wants too much, causing him to exasperate. And as Super Grover, he clearly performs the Hong Kong Phooey/ Inspector Gadget method of being blissfully unaware and completely oblivious to the fact that he doesn't really do anything. And then. we get those sweet little Grover moments where he talks to the audience, or even a kid in the studio calmly and cutely.
Oscar- Another character with so many amazing levels. And it seems that he changes from decade to decade, all while staying true to himself. When he first appeared, he would just tell people to go away... but later on, he realized that to get a grouchy situation, he has to start one himself... all the times that Big Bird annoyed him, he clearly took back on Telly. I really think that the Telly/Oscar moments are some of my favorites. Now he seems to be the grouchy old grandpa figure to characters like Elmo...not that there's anything wrong with that, mind you.
and finally, Count Von Count- Obsessive? Maybe... but he really has found one thing in life that makes him blissfully happy. Even Cookie doesn't match his turning something bad into a good situation. There will always be something to count. One of my favorite Count segments was the ants carrying away his picnic... and did he get upset? no! He counted the ants taking his food away. He might have been hungry, but no doubt he had the same amount of fun he would have had eating, or more likely counting, his lunch.
And the Runner Up would be Cookie Monster... followed by Bert and Telly.