Ooh. This is hard. I pretty much have a different favorite for each game, so I'll list them by game.
MK1: Sub-Zero. Spine Rip owns.
MK2: Reptile. Unique moves and awesome fatalities.
MK3: Unmasked Sub-Zero. Great fun to play as, with combos for every situation. Great fatalities as well.
UMK3/MKT: Ermac. I remember first turning on MKT as a new player and seeing Ermac. I said to myself,"Who is that?" After playing as him for a while he became a favorite. Has been ever since.
MK4: Reiko. Just had a cool look to him. Not to mention being a great character. His throwing star fatality was one of the best I'd seen in a while. Mileena blew it in MKG :?
MK
A: Scorpion. Had great moves and juggles. Fatality was brutal.
MK
: Ermac. Did a great job of bringing him to the 3D era. The green effects and levitation just made him even cooler. (Not to mention the fatalities
)
MK:A: Reiko. The flip kick is insanely good. The throwing star move works great as well, even on Blaze!