Personally, I have a strong attachment with The Innkeeper at the Roxey Inn - Malene
When I first started the game, I came out of the sewers and crossed the river and found the Roxey Inn, she gave me my first quest, which I completed, then returned to the Inn for my reward and a nice nap. Just one of those moments. My earliest memory, and just magical, because i really good to check out the environment on this quest etc.