The only thing harder than choosing a favorite male character is choosing a favorite female character. Again, I can't choose just one. (Note: These are in no particular order.)
1) Elizabeth Bennet from Pride and Prejudice.
2) Scarlett O'Hara from Gone with the Wind.
3) Alanna from the Song of the Lioness quartet.
4) Arya from A Song of Ice and Fire.
5) Jane from Jane Eyre.
As you can see I'm drawn to strong female characters, or rather well-rounded, flawed female characters who are also strong. All of them are intelligent, they're survivors, and none of them are doormats in their respective romantic relationships. But they aren't perfect either. Elizabeth is prejudiced, Scarlett is selfish and childish, Alanna is stubborn and, at times, willfully ignorant, Arya is vengeful and ruthless, and Jane is prideful. Scarlett, in particular, is an awful human being in many respects, but that's one of the reasons she makes this list. I admire Margaret Mitchell's ability to take a character who would traditionally play the role of the villain and not only cast her as the protagonist, but also make her likable (to me, and a large portion of readers).