Kamio Misuzu, from AIR (even though I only played the visual novel). She's one of the few KEY heroines that end up kind of independent, which is cool. She's also autistic (IMO), like me. And, in general, her story is very interesting. I also find her mom (Haruko), to be a very interesting character, too.
What are your favourite characters?
I also like Nagisa from CLANNAD for similar reasons (specially in After Story).
Integra Hellsing- Hellsing Ultimate