It is really difficult to pick just one.
I vote for Christian Shephard - mysterious and spooky in his post-death appearances, and a flawed and pathetic guy in real life, but somehow still likeable and charismatic (and... I have to admit he is quite hot for an older and, well, dead guy

What a voice...)
but I could just as well vote for one of the following:
Richard Alpert (but he's going to be a regular in season 6)
Matthew Abbadon (at least in season 4 when he was still so mysterious. Lance Reddick can be so creepy, in a good way)
Danielle Rousseau (tragic and once mysterious character with a interesting backstory - and it's nice to see Mira Furlan still getting work on good shows in the US... even though Danielle's accent might be the biggest mystery about her

)
Cassidy Phillips ( I really liked her, and Kim Dickens rocks)
Rose (you need a normal person in the cast who can dish out some common sense - and it is also good to see that not all women in the show's universe are young or look like models)
Mikhail Bakunin (there was just something so cool about him. Maybe it's the accent)
Dr Pierre Chang (his appearance is always welcome as it signals more Dharma mysteries and mindfraks)