In the Marvel universe, I love the heroes. However, in the DC universe it is the villains that I enjoy the most. The Joker is probably my favorite character. With so many different portrayals of him throughout all sorts of media (comics, TV, movies, etc...) And through them all he is still the same character. He fascinates me to no end, as do many of Batman's rogues.
And speaking of rogues, my second favorite DC character is Captain Cold. He was a bit weak in the early days, but Geoff Johns handling of the character when he reintroduced him was superb. He is a crook and he does bad things, but he holds himself and his fellow villainous teammates to a code of conduct that no other bad guy even thinks about doing.