So who will it be, the eternal champion who saved the emperor from the treachery of his own battlemage, the Hero of Daggerfall (multiple endings), the Nevarine, the Hero of Kvatch who ended up in the midst of a battle of gods, or the shout-wielder himself, the Dragonborn?
Personally I would have to say the Dragonborn, although I am a bit biased because Skyrim is where I actually started to get into the story of TES (ironic that I went into it so late, considering that I am a lore freak).

Hard to say whose my favorite, really.

Least favorite would be the Imperial Agent (Hero of Daggerfall as you call them) though. Nothing much more than a glorified errand-boy/girl. At least they got to choose who to give the Mantella to (or not, considering that the second they got to it, Akatosh threw a fit.) Nerevarine, Eternal Champion, New Sheogorath, and Dovahkiin all have more going for them; at the very least an epic battle close to the end.