Gonzo is, of course, my favorite of The Muppet Show characters. He has been since I was a little kid and that's not changing anytime soon. Close in the running behind him, though, are Floyd, Fozzie, Scooter, and Dr. Teeth.
As for least favorite... well, like most, I really don't have any characters that I don't like. I always liked all the characters because all of the performers were so good with them. But I guess like Jamie I'm not a huge fan of underdeveloped characters like Miss Mousey who just randomly gets tossed in for a musical number in a tea cup. *shrug*
I used to despise Link Hogthrob, Beaker, and Animal... Link because I thought he was just a total idiot, Beaker because I was getting annoyed by him, and Animal because I was tired of his over-exposure (and people complain about Pepe... pft...). But I've since overcome that and have grown to adore all three of them--especially Link. He's become one of my favorites, and Beaker's "Ode to Joy" and Animal's bunny tapes on Muppets.com (along with other great performances) have swayed me to their side.