While I suppose I have many favorite characters, the characters that I remember most and enjoyed developing are the ones I've taken through a series of modules. I did that a while back playing through some modules in the Realms, and, more recently, I took a party of characters through 4 non-hacked modules. With no hacks, I could transfer from one game to another with no incompatibilities. I tried hard to pick modules that would make sense from a game balance perspective, both for starting level and magic acquired. Don't know that I was completely successful at that, but it worked. The modules I played through were:
Caves of Chaos
Outpost (Borderland Invasion)
Moria (Dwarves Of)
Magic of the Savage Frontier
I have posted reviews of these in the review section. All four are basically dungeon crawls, which I usually enjoy if its done well. As a whole, it was quite enjoyable. A couple of times, at the beginning of a module, I dropped some or all of my magic items to 'start fresh'. It just seemed that each module loaded you up w/major items and you were overpowered for the beginning portion of the next module.
My party was:
Ravelond - Human Ranger
Thorek Greyhelm - Dwarf Fighter/Thief
Drezlor - Human Ranger / MU (dual class after level 10)
Lynessa - Human Cleric
Jennika - Human Fighter / MU (dual class immediately)
Cendalas - Half-Elf Cleric / MU
Later, I replaced Cendalas when level limits made her obsolete. Replaced with:
Sunaryl - Human Cleric / MU (dual Class after level 10)
Probably the favorite moment for this group was the very first battle, when I had lame ACs, and of course was 1st level. I was 2 steps outside of town. It was a group of bandits and my Cleric/MU went down before I could blink. AH! no sleep spell now. There were lots of bandits, 2 of which shot arrows, and a pretty tough leader. I somehow managed to win the fight. I think every character that was conscious had 4 or less HPs remaining. No spells left either. Back to town already!
Four modules and a boatload of combats and treasures later, my guys were around 15th level and really powerful (routinely dropping +3 items). I think they pretty well rid their world of orcs, trolls, and enemy fighters and spell casters. A few dragons, too. About time to retire.
That can mean only one thing... On to the next campaign with new characters! I've been eyeing the far west series for a long time. Time to dive in. If anyone has any other ideas about which modules can be put together into a long series, I'd like to hear.