I'm always a little disappointed that no one mentions "Xander" as their favorite. To me, even though he was a goofball, he consistently came through as the deepest character in the series. He screws up constantly in his life (making out with Wil, breaking up his relationship with Cordy; leaving Anya at the altar), but he is still somehow the rock for the group.
For instance, in that episode where Riley is leaving Buffy and she doesn't want to go after him, Xander convinces her that love is a tough thing to handle. He is the one who brings Poor Evil Wil back from the brink of destroying the world.
He was the only "normal" one and he lost everything by the end. HIs business (construction went bye-bye with the Hellmouth), his true love (Anya died fighting, remember?), and his eye. Wil may have lost Tara, but she found Kennedy (to everyone's dismay) and Buffy...well, she was always kinda depressing, but Xander truly was destroyed by the end of the series (expanded universe not included as I've not read it).
Long story made slightly shorter: Xander is more human and relatable then any of the super heroes on the show, and for that, he is my favorite.
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