Number one is definitely Pete Martell. Such a good soul, but with a thread of sneering indignance running through him. Jack Nance's portrayal of Pete's feelings for Catherine and Josie is, I think, the most emotionally palpable characterization in the whole series. I love every moment the guy spends onscreen. And now that I've seen I Don't Know Jack, I'm totally fascinated by the fact that Lynch cast him and his ex-wife in the same series, and gave his on-screen wife the same name as his ex.
The rest, in no particular order:
Bobby Briggs. I was iffy about him at first... I thought the "AFRAAAAID?! I'M GONNA TURN IT UP! SIDE! DOWN!" was a little overdone. But then I remembered: this guy's a teenager! Melodrama is prerequisite. All the stuff with Laura and Shelly is particularly good... we all remember what it was to be 17 and dealing with emotions that were way over our heads. Only thing I don't like about the character was the killing of the deputy in FWWM... it just didn't seem to match up with the naive kid we saw in the series.
Ben Horne. I'm sure a lot of folks think all his 2nd season subplots were kind of goofy... but I actually really enjoy most everything this character does in the series. He's a terrific villain, infinitely more interesting than Windham Earle. And he's hilarious. The whole scene with Jerry and the cheese sandwich -- "Always... a pleasure" -- kills me every time.
Big Ed Hurley. Maybe the most loveable character in the whole series. He's really just a man trying to do what's right, but mostly gets it all wrong. Really heartbreaking the way things go for him.
Lucy Moran. If I have to explain this choice to you, then you'll just never understand it. 