My favourite characters are probably:
KH1:
Riku, because you see his struggle with darkness and light and the strain it has on his friendship with Sora. In the end though, he redeemed himself by helping Sora close the door to Kingdom Hearts and by stopping Xehanort from hurting Kairi, Donald and Goofy.
KH2:
Axel obviously, even though he could have been in Sora's part of the game more, the stuff he was in was cool and he redeemed himself also by giving his life to help Sora.
Xaldin was pretty cool as well I think, I just wish he had been in it more though.