My two favourite characters are Jon and Arya.
Arya's a badass little tomboy and Jon is filled with pretty.
I've never read the books that the show is based on, simply because I have so many books to read on my Kindle and on my bookshelf as it is and it looks like a massively epic book. Pillars of the Earth and Atlas, Shrugged are two of my favourite books, and they are epic, but they are also freakishly long and I read then when I didn't have a to-read list backlog.
Having said that, the show never ceases to surprise me.
Case in point, the amount of nudity in this show OMG if they would just do for Jon what they did for Theon or even Jamie, I would be infinitely pleased. But no, they put him on a frozen wall with layers of fur.