There are more other characters than captains, so it's normal that the captain might never be your favorite.
TOS - No contest. Spock.
TNG - Not a big fan, but I liked Data the best I spose.
DS9 - My favorites tend to be the recurring characters but of the main characters, it's Kira.
VOY - Not a big fan, but I liked EMH the best I spose.
ENT - No contest. Trip.