I liked all the characters in Watchmen, but since Rorschach is the "protagonist" and since much of the story revolves around the Comedian, those are my favorite charachters. off-topic: Alan Moore... one of the best authors in the world. (atleast I think so)
EDIT: though I think it's interesting, Moore tries very hard to make the characters relatable, giving them very human issues. But the one character that actually is a hero all the time (almost) and doesn't seem to have a social life, is being criticized for not having a solcial life, IE being too much of a hero. If Superman didn't have a life as Clark Kent he could probably save a lot more people... (If you disagree, please don't get caught up on my comparing Rorschach to Superman... please.)