Picking my favorite character was a hard one because the characters seemed to change between games. Rosella was awesome in KQ4, but she turned into a whiny little brat in KQ7. Valanice's only appearance as a playable character in a game was in KQ7, half of which she spent sobbing about her missing daughter. In KQ2 (original), she was the literal damsel in distress and didn't do anything. Even in KQ2+ she had a minor role.
Alexander in KQ3 had no dialog at all, but he was willing to take on a ship full of pirates and swim through shark-infested waters, but in KQ6, he was the least memorable character. It seemed -- to me at least -- that the most colorful characters were the supporting cast. I remember more about the genie, the red and white queens and Death than I do about Alexander's personality from the game. (And on a completely unrelated note, I hated his spiky anime hair in The Silver Lining. I wanted Graham to cut it all off with those enchanted clippers than just taking a single lock.)
Graham seemed to be a stalwart, valiant character who was the basic hero throughout. Though pretty-much a one-dimensional heroic figure from KQ1 as a knight through to KQ5 as a king saving his family, he at least kept his one-note song through the series. (I would have liked him to perhaps have lost his temper once or twice and drop-kicked Cedric off of one of those mountain cliffs that stupid owl kept warning him about....

)
Of course, those are just my opinions, feel free to disagree (politely, please). It's been a while since I've played the whole series through, so I may have misremembered somethings.