My favorite changed a few times based on the story and saga. At the start of Z, Piccolo was my favorite. After Vegeta showed up I quickly grew to enjoy his character. Vegeta took the lead closely followed by Piccolo on Namek. Gohan was my favorite during the Cell games. Vegeta again for the Buu ordeal. Once we get into Super, Beerus got a bump out of nowhere. I really like him (if that isn't obvious). Goku Black (Zamasu) has to be my favorite villain overall just because he is a mix of so many of them but his heart is non-existent. The whole Future Trunks saga was, imo, the best part of Super.
Overall, Vegeta takes first place for me closely followed by Piccolo and Beerus.