Being a fan of the games since the third installment, I've found i have a favorite character from all three kingdoms (four if i count the Han i think their name is):
Shu- Zhao Yun. My first character I've ever played and he has grown on me. I just can't get enough of that spear!
Wei- Sima Yi. Cunning, devious, sarcastic, and ruthless. What more can you ask for? Plus his wire claws are badass.
Wu- Ling Tong. Lazy and apathetic, yet full of energy and heart. You gotta love it!
I must say though, Liu Bei is a close second in the Shu category, and he would have been first if his Musou mode wasn't such a pain in the a**.