Tough question. In ensemble shows like this, it can vary for me depending on the story/episode. If I had to pick a character that I have been enjoying the most, it is probably Marcille. Between how expressively she is drawn and the great VA work to go alongside, it has been great.
I think the character that I am most interested in is Laios. He can be really weird sometimes. He has a tendency to kind of forget what he is doing or get easily sidetracked or off on some tangent. You could see this all the way back in episode 1 when he was busy thinking about how hungry he was instead of focusing on the fight with the dragon. Similarly, this has happened in a couple other fights they have had, where Laios is kind of standing around, thinking about some nonsense while his party continues to fight. This tendency to go off on tangents (often monster food-related), is at odds with what should be a high priority for him, saving his sister. I just feel like there is more to Laios that we haven't really seen yet. Or....maybe he is just kinda weird that way.
I have seen people elsewhere online compare Laios to being neurodivergent. I don't really have much firsthand experience with neurodivergence, so I can't really speak to the comparison. However, I do find it interesting that people are connecting to an anime character in that way.