Hm, my favorite characters would have to be the ones I play best with, which would be Yukimura, Nobunaga, Kanetsugu, Mitsunari, Nene, Nagamasa, Hideyoshi, Kotaro, Hanzo, and Keiji. As much as a pain Mitsunari is in the Empire events, I still play well with him. On the first Samurai Warriors, Yukimura would have to be my favorite, hands down. Hanzo was good in the survival mode and Oichi was good in the challenge mode, but Yukimura was the best over all for me. Kunoichi was my favorite female character, but since she's gone...
Yesterday, I took the time to play with all of the important characters. Noh sucks for me--I hate how she keeps randomly flipping around. Mitsuhide, Kenshin, Sakon, Ina, Oichi, Shingen, and Ieyasu are all terrible for me to play as.
The characters are great--all so unique and awesome. The game itself is great.