There's no doubt that it's Kai Hiwatari.
I've always had something for the characters that were aloof and had this loner attitude about them, so of course he instantly was my favorite in the series when I first saw him. Over time, however, I noticed that he's probably my most favorite character ever and this thinking hasn't changed.

He has been my favorite since elementary school, so he's not only important because of his character, design and story ( which I love! ) but also because of the nostalgia and all the memories that come along with it! ^^
Other favorites of mine, though far off from Kai, are:
Tiger from Monster Rancher, Seto Kaiba from Yu-gi-oh!, Yami Bakura from Yu-gi-oh!, Beelzebumon from Digimon, Portgas D. Ace from One Piece, Sesshoumaru from Inuyasha ...