It's hard to pick just one, and I don't know if I can say that I have just one favorite (despite how partial I am to CLAMP's Sakura)...
...so I'll have to go with my very first favorite character from quite some time ago, just as I started getting into anime.
Orochimaru is perhaps the only interesting villain that Naruto has had, IMO. He was evil, calculating, and always had an aura of mysterious intelligence to him. He also had some of the best themes in the series, and an amazing voice actress. While I have little love for the series, and hated how he kept getting treated like shit by the creator, I have faith that he will "be" the final villain in the series.