Hard to single out characters, so I’ll narrow it down to my favorites instead one favorite.
FE7: Jaffar, Nino, Hector
FE8: Ross (is boss), Lyon
FE awakening: Barley played it, hardly remember it. Probably the pre-promote Paladin (Great Knight?) you get early on.
FE Conquest: Camilla (as a unit, I swear!), Xander
FE3H: Petra or Dimitri