To the surprise of no one that knows me.
Alice Margatroid. Initially catching my attention because of her bizarre, but dangerous, playstyle in SWR, I really grew to love this character the more I saw of her. One of the more cool-headed of the cast, her finesse over force aproach to combat, her weird form of combat, the somewhat mysterious past, all of her great themes, but most of all is that there's actually some semblance of character growth during her time in the series. From aloof and vengeful in PCB to a friendly rival by the time of SA, there's a lot potential in her that sadly, we're not likely to see in the official series (especially since she doesn't appear any more). I admit it the fangames that have given me most of my love for the character, particularly her portrayal in Sengoku Gensokyo and Fantasy Maiden Wars Scarlet. I really like the friendly rivalry dynamic that she and Marisa had in IN and SA, they easily have many of my favorite lines from the series, and I always enjoy seeing a fangame that goes a similar path with them.
(Also, the best place for this thread might have actually been the general Touhou section . . . )