Playable character I loved Gaige, she has DeathTrap and he's really quite useful when a bunch of cryptids or psychos are chasing you down. Zero is actually pretty cool once you get his skill tree up to the higher levels, he has some witty dialogue too.
For non-playable characters I would say Handsome Jack. He's such a jerk but he has charisma which negates his jerkiness.
I would also say Tiny Tina, she's a little off kilter but I love her and her dialogue.