Five? I can only pick five? Whoo boy, this is going to be tough.
Lesse now...
In no particular order:
Wrex - He was easily my favourite part of Mass Effect. Badass without being a dick, violent without being cruel, and with a wry grumpy sense of humour. Also, I like that he had a bit of depth to him. He would bemoan the shortcomings of his species while at the same time being fully aware that he himself exemplified those same shortcomings. So yeah... he's awesome.
Merrill - I suspect she was constructed out of pure adorable. Just about everything she says makes me grin, even her combat chatter. "Well, this doesn't look too pleasant!"
Jack - I like how her personality, backstory and appearance all match up perfectly. Also, the fact that she isn't supposed to be "likeable". She's a *****, she knows she's a ***** and she straight-out states that she's a *****. And I wouldn't have it any other way.
Liara - At first I was determined to hate her due to the blatant nerd fantasy pandering. "Ohh, look, a hot lesbian alien chick!" But in a ship full of emotional wrecks and grumpy badasses it's nice to have someone sweet and sincere around. By the time I played Lair of the Shadow Broker I really liked her. Sweet and sincere but forced to be cold, callous and calculating. Good stuff.
Legion - The guy was just plain interesting. I think they really pulled off the impression of a creature that thinks and perceives in a completely different manner to ourselves.
Honorable mentions go to Varric, Grunt, Sten, Morrigan, Leliana, and Mordin.
Say what you like about their gameplay, level design, graphics and even their narratives, Bioware know their way around a good character.