Favorite of all time has got to be Chun Li. I used to be really good with her in SF2, and I loved her style (both personality and playstyle.) I tend to gravitate toward fast characters, and it was so fun bouncing around the screen, head-stomping, air-throwing, etc.
In SF4, she's not necessarily my best character, but I understand her the best, if that makes any sense. Like, I know how to react to most situations with her, and I can vary my playstyle with her a lot, so I guess I'm more in control and harder for my opponent to read. Among my friends it's understood that when I pick her, it's on.
Other faves are Sakura, Juri, and Ken.
And I'm terrible at Virtua Fighter, but I really love Aoi. Her style is really fluid and everything's based around reversing her opponent's moves... I just wish I could, y'know, actually do it. Pai's really fun too.