Can't really pick. Ahsoka is definitely one of my favorites, as is Obi Wan. Assuming we are giving Anakin the benefit of being a Jedi in the series, I have to say, I love Anakin too. Clone Wars Anakin, to me, is what Prequel Anakin should have been and a lot of the value of the Clone Wars, to me, is giving me the ability to see Anakin from that perspective.
Baddies, oh that is tough :D. Asajj Ventress is spectacular, Cad Bane is, indeed, awesome, Hondo the pirate who seems to have a secret soft spot for the Jedi, the returned Maul, Grevious and, surprisingly, I really love Clone Wars Dooku.
I know this isn't the thread for it, so I will keep it brief, but I could never reconcile AOTC and, especially ROTS Anakin with TPM Ani, nor was his "fall" believable to me in the way it occurred on screen :'(. Now in the books, they make you understand more of how and why it happened, and in TCW I think you see some of that as well as the side of Anakin's character that would allow Darth Vader to be redeemed at the end.
The Clone Wars did such a great job of really building deep characters. The writing team was top notch and the voice actors were all, absolutely, spectacular.
I think this is what bugs me so much about the Disney decision to cancel the show. I do not think they realize the absolute importance of the series historically. It has brought Star Wars to a new generation, while feeding the old generation's need for something during the movie drought. Kids today that might find the OT boring or "campy" are loving the Clone Wars. It has allowed an intergenerational bonding which is why it is such a great family show.
If you are upset by the decision (like I am), follow hashtag #SaveTheCloneWars and handle @SavetheCloneWars on Twitter. All the addresses and phone numbers for both Disney and Lucasfilm are being given out and people are writing letters, making phone calls, and tweeting #Disney and #StarWars. Who knows? If enough fans let them know our displeasure, maybe they will at least bright the voice actors back to finish the series which had a couple of more seasons leading right up to ROTS.