I actually have two.
Sheik is one of them because he's so mysterious and so just, AWESOME! He's such a bada**, and I love arguing with people who try to tell me Sheik is a girl >.< He just seems so wise and he's the best character besides...
Midna! Who is my other favourite because she starts out so adorable, and then you find out she's got this sarcastic personality that makes you wanna attack her for being so rude XD
But then she gets better and I love her
And you can watch her as she starts to actually care about what happens to more than just herself, and in the end, she is GORGEOUS
And my favourite thing about her is how, at the very end, all of a sudden, she is sooo ridiculously formal! She was lighthearted the entire time, and she would be rude and sarcastic, and demanding, and then all of sudden, she's all proper and formal! It makes me laugh hysterically every time XD